Date: 19-Jul-18

Index Weights as of monthly rebalance date 12-Jul-18

Citi Pure Risk Europe Long-Short Net TR Series II Index (CIISLRE2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 1COV GY Equity Covestro AG 1.00% 1 ABBN SE Equity ABB LTD-REG -0.73% 2 ABF LN Equity Associated British Foods 0.41% 2 ABI BB Equity Anheuser Busch Inbev NV -1.98% 3 ADP FP Equity ADP Promesses 0.25% 3 ABN NA Equity ABN AMRO Group NV -0.93% 4 ADS GY Equity Adidas AG 0.52% 4 AC FP Equity Accor -1.66% 5 AGN NA Equity Aegon NV 0.29% 5 ACA FP Equity Credit Agricole SA -0.47% 6 AGS BB Equity AGEAS 0.55% 6 ADEN SE Equity ADECCO GROUP AG-REG -0.10% 7 AD NA Equity Ahold NV 0.92% 7 AHT LN Equity Ashtead Group -0.38% 8 AI FP Equity Air Liquide 0.30% 8 AKZA NA Equity Akzo Nobel NV -0.08% 9 AIBG ID Equity AIB GROUP PLC 0.36% 9 ALFA SS Equity Alfa Laval AB -1.30% 10 AKE FP Equity Arkema 0.03% 10 ALO FP Equity Alstom -0.20% 11 ALV GY Equity Allianz SE 0.49% 11 VNA GY Equity Deutsche Annington Immobilien -0.62% 12 AMS SQ Equity Amadeus IT Hldg SA 0.29% 12 ATL IM Equity Atlantia SpA -0.33% 13 ANTO LN Equity Antofagasta Hldgs 0.50% 13 AUTO LN Equity Auto Trader Group PLC -0.76% 14 ASML NA Equity ASML Holding NV 0.63% 14 AZN LN Equity AstraZeneca Plc -0.25% 15 ASSAB SS Equity Assa Abloy B 0.74% 15 BATS LN Equity British American Tobacco Plc -0.24% 16 ATCOA SS Equity Atlas Copco AB A 0.33% 16 BAYN GY Equity Bayer AG -1.30% 17 ATCOB SS Equity Atlas Copco AB B 0.20% 17 BIRG ID Equity BANK OF IRELAND -1.71% 18 AV/ LN Equity Aviva 0.97% 18 BKT SQ Equity Bankinter SA -0.11% 19 BA/ LN Equity BAE Systems Plc 0.81% 19 BLT LN Equity BHP Billiton Plc -1.15% 20 BAER SE Equity LTD 0.32% 20 BMW GY Equity Bayer Motoren Werke AG (BMW) -1.30% 21 BALN SE Equity BALOISE HOLDING AG - REG 1.81% 21 BNZL LN Equity Bunzl -0.14% 22 BARC LN Equity Barclays 1.70% 22 BOSS GY Equity HUGO BOSS AG -ORD -0.34% 23 BAS GY Equity BASF SE 0.15% 23 BP/ LN Equity BP -0.03% 24 BDEV LN Equity Barratt Developments 1.83% 24 BVI FP Equity Bureau Veritas SA -1.35% 25 BEI GY Equity Beiersdorf AG 0.73% 25 CABK SQ Equity CaixaBank -0.32% 26 PROX BB Equity Belgacom SA 0.65% 26 CARLB DC Equity Carlsberg AS B -1.63% 27 BKG LN Equity Berkeley Group Holdings Plc 0.65% 27 CBK GY Equity Commerzbank AG -1.34% 28 BN FP Equity Danone 0.02% 28 CCH LN Equity COCA-COLA HBC AG ORD CHF6.70 (CDI) -0.38% 29 BNP FP Equity BNP Paribas 0.26% 29 CFR SE Equity CIE FINANCIERE -REG -1.77% 30 BOL SS Equity Boliden AB 1.02% 30 CLN SE Equity AG -0.48% 31 BRBY LN Equity Burberry Group 0.18% 31 CNHI IM Equity CNH Industrial -0.45% 32 BT/A LN Equity BT Group 0.10% 32 COLOB DC Equity Coloplast AS B -0.11% 33 CAP FP Equity Cap Gemini SA 0.03% 33 CON GY Equity Continental AG -0.37% 34 CCL LN Equity Carnival Plc 1.67% 34 CSGN SE Equity GROUP AG-REG -0.79% 35 CHR DC Equity Christian Hansen Holding A/S 0.57% 35 DAI GY Equity Daimler AG -0.86% 36 CNA LN Equity Centrica 0.79% 36 ORSTED DC Equity Orsted A/S -1.35% 37 COLR BB Equity Colruyt SA 0.29% 37 AKERBP NO Equity Det Norske Oljeselskap ASA -1.63% 38 CPG LN Equity Compass Group 0.56% 38 DGE LN Equity Diageo Plc -0.42% 39 CRH ID Equity CRH ORD EUR0.32 0.39% 39 DHER GY Equity DELIVERY HERO AG -0.49% 40 CS FP Equity AXA 0.98% 40 DNB NO Equity DNB ASA -0.58% 41 DANSKE DC Equity Danske Bank A/S 2.04% 41 DPW GY Equity Deutsche Post AG -0.46% 42 DB1 GY Equity Deutsche Boerse AG 1.24% 42 DTE GY Equity Deutsche Telekom -0.65% 43 DBK GY Equity Deutsche Bank AG 0.18% 43 AIR FP Equity EADS NV-Euro Aero Defense -0.73% 44 DG FP Equity Vinci 0.07% 44 EBS AV Equity Erste Group Bank AG -0.10% 45 DRI GY Equity Drillisch AG 1.29% 45 EDEN FP Equity Edenred -1.63% 46 DSM NA Equity Koninklijke DSM NV 0.12% 46 EDP PL Equity Electricidade de Portugal SA -0.04% 47 DSV DC Equity Dsv A/S 0.59% 47 ENG SQ Equity Enagas SpA -0.21% 48 DSY FP Equity Dassault Systemes SA 1.41% 48 EO FP Equity Faurecia -1.43% 49 DWNI GY Equity Deutsche Wohnen AG BR 0.64% 49 EPIA SS Equity Epiroc AB -0.43% 50 ELUXB SS Equity Electrolux AB B 0.24% 50 ERF FP Equity Eurofins Scientific -0.61% 51 EN FP Equity Bouygues 0.47% 51 EVK GY Equity Evonik Industries -0.20% 52 ENEL IM Equity Enel SpA 0.49% 52 EXPN LN Equity Experian Plc -0.19% 53 ENI IM Equity ENI SpA 0.44% 53 EZJ LN Equity Easyjet -0.50% 54 ERICB SS Equity ERICSSON LM-B SHS 0.39% 54 FCA IM Equity FIAT CHRYSLER AUTOMOBILES NV -0.26% 55 FGR FP Equity Eiffage 0.18% 55 FR FP Equity Valeo -1.09% 56 FP FP Equity TOTAL SA 0.46% 56 FORTUM FH Equity Fortum Oyj -0.53% 57 FRE GY Equity Fresenius SE & Co KGaA 0.57% 57 VIFN SE Equity GALENICA AG-REG -0.80% 58 G IM Equity Assicurazioni Generali SpA 0.39% 58 NTGY SQ Equity Gas Natural SDG SA -0.57% 59 G1A GY Equity GEA Group AG 0.16% 59 GBLB BB Equity Groupe Bruxelles Lambert (New) -1.05% 60 GALP PL Equity Galp Energia SGPS SA 0.04% 60 GEBN SE Equity AG-REG -0.06% 61 GVC LN Equity GVC HLDGS PLC ORD EUR0.01 0.28% 61 GEN DC Equity Genmab AS -0.59% 62 HEN3 GY Equity Henkel AG & Co. KGaA Nvtg Prf 0.08% 62 GFC FP Equity Gecina -0.33% 63 HO FP Equity Thales 1.09% 63 GIVN SE Equity -REG -0.14% 64 HSBA LN Equity HSBC Holdings Plc 1.27% 64 GLE FP Equity Societe Generale -1.13% 65 IAG SQ Equity INTL.CONS.AIRL.GP.(CDI) 1.31% 65 GLEN LN Equity Glencore International PLC -1.02% 66 IBE SQ Equity Iberdrola SA 0.61% 66 GRF SQ Equity Grifols SA -0.36% 67 IFX GY Equity Infineon Technologies AG 0.10% 67 GSK LN Equity GlaxoSmithKline -0.46% 68 INF LN Equity INFORMA PLC ORD GBP0.001 0.74% 68 HEI GY Equity HeidelbergCement AG -0.22% 69 ING FP Equity Ingenico 0.06% 69 HEIA NA Equity Heineken NV -0.32% 70 INGA NA Equity ING Groep NV 0.21% 70 HEXAB SS Equity Hexagon AB -0.43% 71 ISP IM Equity Intesa SanPaolo 0.04% 71 HL/ LN Equity Hargreaves Landsdown Plc -1.60% 72 ITX SQ Equity Inditex SA 1.31% 72 HNR1 GY Equity Hannover Ruckversicherungs AG Reg -0.73% 73 KBC BB Equity KBC Group NV 1.18% 73 IHG LN Equity InterContinental Hotels Group Plc -1.64% 74 KER FP Equity PPR SA 0.10% 74 IMB LN Equity Imperial Tobacco -0.38% 75 KGF LN Equity Kingfisher 1.88% 75 INVEB SS Equity Investor AB B -0.66% 76 KNEBV FH Equity Kone Corp B 0.24% 76 ITRK LN Equity Intertek Group PLC -0.64% 77 KNIN SE Equity KUEHNE + NAGEL INTL AG-REG 0.75% 77 ITV LN Equity ITV Plc -0.93% 78 KYG ID Equity Kerry Group A 0.30% 78 JMAT LN Equity JOHNSON MATTHEY PLC -0.04% 79 LHA GY Equity Deutsche Lufthansa Reg 0.97% 79 KGX GY Equity KION Group AG -0.18% 80 LI FP Equity Klepierre 0.09% 80 KINVB SS Equity Kinnevik Investment AB B -2.38% 81 LINU GY Equity LINDE AG 0.10% 81 KN FP Equity Natixis -1.25% 82 LLOY LN Equity Lloyds Banking Group Plc 1.34% 82 KPN NA Equity Koninklijke KPN NV -0.33% 83 LSE LN Equity London Stock Exchange Plc 0.08% 83 LGEN LN Equity Legal & General Group -0.53% 84 LUN DC Equity H Lundbeck A/S 1.38% 84 LHN SE Equity LAFARGEHOLCIM LTD-REG -0.97% 85 MC FP Equity LVMH-Moet Vuitton 0.27% 85 LONN SE Equity LONZA GROUP AG-REG -0.31% 86 MHG NO Equity Marine Harvest ASA 1.06% 86 LR FP Equity Legrand Promesses -0.40% 87 ML FP Equity Michelin CGDE B Brown 0.85% 87 LUPE SS Equity Lundin Petroleum A -0.77% 88 MONC IM Equity MONCLER SPA 1.52% 88 LXS GY Equity Lanxess AG -0.34% 89 MRW LN Equity Morrison (WM) Supermarkets 1.21% 89 MAP SQ Equity Mapfre SA -0.24% 90 MTX GY Equity MTU Aero Engines Holding AG 0.56% 90 MCRO LN Equity Micro Focus International -0.07% 91 MUV2 GY Equity Munich Re AG 0.15% 91 MNDI LN Equity Mondi Plc -0.51% 92 NDA SS Equity Nordea AB 1.03% 92 MRK GY Equity MERCK KGaA -1.02% 93 NESTE FH Equity Neste Oil OYJ 1.39% 93 MRO LN Equity Melrose Industries PLC -1.03% 94 NESN SE Equity NESTLE SA-REG 0.23% 94 MT NA Equity ArcelorMittal -0.16% 95 NG/ LN Equity National Grid PLC 0.49% 95 NN NA Equity NN Group NV -0.75% 96 NHY NO Equity Norsk Hydro AS 1.41% 96 NOKIA FH Equity Nokia OYJ -2.00% 97 NOVN SE Equity AG-REG 0.10% 97 NOVOB DC Equity Novo Nordisk AS B -0.21% 98 NZYMB DC Equity Novozymes AS B 0.16% 98 NRE1V FH Equity Nokian Renkaat Oyj -0.02% 99 OMV AV Equity OMV AG 0.06% 99 NXT LN Equity Next -1.34% 100 OR FP Equity L'Oreal 1.45% 100 PAH3 GY Equity Porsche Automobil Holding SE -0.33% 101 ORA FP Equity Orange S.A. 0.86% 101 PHIA NA Equity Koninklijke Philips Electronics NV (Royal Philips Electronics) -0.94% 102 OSR GY Equity Osram Light AG 0.28% 102 PRU LN Equity Prudential Plc -0.74% 103 PGHN SE Equity HLG CHF0.01 (REGD) 0.10% 103 QIA GY Equity QIAGEN AG -0.23% 104 PNDORA DC Equity Pandora A/S 0.07% 104 RACE IM Equity FERRARI NV -0.91% 105 PRY IM Equity Prysmian SpA 0.15% 105 RB/ LN Equity Reckitt Benckiser Group PLC -0.38% 106 PSN LN Equity Persimmon 0.66% 106 RBS LN Equity ROYAL BANK OF SCOTLAND GROUP -1.06% 107 PUB FP Equity Publicis Groupe 0.02% 107 REC IM Equity Recordati SpA Ord -0.13% 108 PUM GY Equity PUMA SE 1.51% 108 RIO LN Equity Rio Tinto Plc 0.00% 109 RAND NA Equity Randstad Hldgs NV 0.78% 109 RNO FP Equity Renault SA -1.44% 110 TEP FP Equity Teleperformance 0.37% 110 RR/ LN Equity Rolls-Royce Holdings Plc -0.16% 111 RDSA LN Equity Royal Dutch Shell PLC 0.13% 111 SAB SQ Equity Banco de Sabadell SA -0.44% 112 RDSB LN Equity Royal Dutch Shell PLC B 0.18% 112 SAN FP Equity -Aventis -0.20% 113 REE SQ Equity Red Electrica Corporacion SA 0.41% 113 SAN SQ Equity Banco Santander SA -0.81% 114 REL LN Equity Reed Elsevier 0.28% 114 SAND SS Equity Sandvik AB -0.05% 115 REN NA Equity Reed Elsevier NV 0.24% 115 SBRY LN Equity Sainsbury (J) -1.44% 116 REP SQ Equity Repsol-YPF SA 0.07% 116 SCMN SE Equity AG-REG -0.76% 117 RMG LN Equity ROYAL MAIL PLC ORD GBP0.01 0.88% 117 SCR FP Equity SCOR SE -0.15% 118 RMS FP Equity Hermes Intl 1.62% 118 SEV FP Equity Suez Environment SA -0.42% 119 ROG SE Equity ROCHE HOLDING AG-GENUSSCHEIN 0.45% 119 SGSN SE Equity SGS SA-REG -0.21% 120 RSA LN Equity RSA Insurance Group Plc 1.49% 120 SIE GY Equity Siemens AG -0.57% 121 RYA ID Equity Ryanair Holdings Plc 1.22% 121 SKFB SS Equity SKF AB B -0.21% 122 SAMPO FH Equity Sampo Oyj A 0.25% 122 SKG ID Equity Smurfit Kappa Group PLC -0.57% 123 SAP GY Equity SAP AG 0.33% 123 SLA LN Equity Standard Life -0.97% 124 SCHP SE Equity SCHINDLER HOLDING-PART CERT 0.68% 124 SMIN LN Equity Smiths Group -0.21% 125 SEBA SS Equity SEB-Skand Enskilda Banken A 0.44% 125 SOLB BB Equity Solvay -0.50% 126 SECUB SS Equity Securitas AB B 0.30% 126 SSE LN Equity Scottish & Southern Energy -0.18% 127 SESG FP Equity SES 1.04% 127 STAN LN Equity Standard Chartered -0.95% 128 SGE LN Equity Sage Group 0.17% 128 STERV FH Equity Stora Enso OYJ R -0.29% 129 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN 0.39% 129 EQNR NO Equity Statoil ASA -0.86% 130 SHBA SS Equity Svenska Handelsbanken A 1.16% 130 SVT LN Equity Severn Trent -0.03% 131 SHL GY Equity Siemens Healthineers AG 2.68% 131 TEF SQ Equity Telefonica SA -0.92% 132 SIKA SE Equity SIKA AG-BR 0.45% 132 TEMN SE Equity Temenos Group AG -1.09% 133 SLHN SE Equity HOLDING AG-REG 1.89% 133 TIT IM Equity Telecom Italia SpA -0.62% 134 SN/ LN Equity Smith & Nephew 0.75% 134 TKA GY Equity ThyssenKrupp AG -2.11% 135 SOON SE Equity HOLDING AG-REG 0.16% 135 UBI FP Equity UBI Soft Entertainment -0.24% 136 SREN SE Equity AG 0.92% 136 UBSG SE Equity UBS GROUP AG-REG -1.17% 137 SRG IM Equity Snam Rete Gas SpA 0.22% 137 UCG IM Equity UNICREDIT SPA -1.96% 138 STM FP Equity STMICROELECTRONICS 1.10% 138 UG FP Equity Peugeot SA -0.27% 139 STMN SE Equity AG Reg 1.06% 139 UHR SE Equity SWATCH GROUP AG/THE-BR -0.83% 140 SW FP Equity Sodexo 0.06% 140 ULVR LN Equity Unilever -0.24% 141 SWEDA SS Equity Swedbank AB 0.50% 141 UNA NA Equity Unilever NV -0.03% 142 SY1 GY Equity Symrise AG 1.06% 142 VOLVB SS Equity Volvo AB B -0.28% 143 TEN IM Equity Tenaris SA 1.32% 143 VOW GY Equity Volkswagen AG -0.88% 144 TELIA SS Equity TeliaSonera AB 0.15% 144 VOW3 GY Equity Volkswagen AG Nvtg Prf -0.81% 145 TRN IM Equity Terna SpA 0.07% 145 VWS DC Equity Vestas Wind Systems AS -0.89% 146 TSCO LN Equity Tesco 0.73% 146 WDH DC Equity William Demant Hldg -0.01% 147 TW/ LN Equity Taylor Wimpey 0.77% 147 WEIR LN Equity Weir Group -1.60% 148 UCB BB Equity UCB SA 0.38% 148 WG/ LN Equity WOOD GROUP (JOHN) PLC -0.82% 149 URW NA Equity Unibail - Rodamco 0.21% 149 WPP LN Equity WPP Plc -0.19% 150 UMI BB Equity UMICORE NPV 0.49% 150 WTB LN Equity Whitbread -0.55% 151 UPM FH Equity UPM-Kymmene Oyj 0.40% 152 UTDI GY Equity United Internet AG Reg 0.43% 153 VIE FP Equity Veolia Environnement 0.27% 154 VIV FP Equity Vivendi SA 0.86% 155 VOD LN Equity Vodafone Group 0.22% 156 VOE AV Equity VOESTALPINE AG 0.03% 157 WDI GY Equity Wire Card AG 0.12% 158 WKL NA Equity Wolters Kluwer NV 0.13% 159 FERG LN Equity Wolseley 0.42% 160 WRT1V FH Equity Wartsila Oyj B 0.56% 161 YAR NO Equity Yara International ASA 0.61% 162 ZURN SE Equity AG 1.30%