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Citi Pure Quality Europe Long Short TR Index (CIISQUET)

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Citi Pure Quality Europe Long Short TR Index (CIISQUET) Date: 20-May-16 Index Weights as of monthly rebalance date 10-May-16 Citi Pure Quality Europe Long Short TR Index (CIISQUET) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 ABBN VX ABB Ltd 0.23% 1 AAL LN Anglo American Plc -0.58% 2 ADN LN Aberdeen Asset Mgmt 0.74% 2 ABF LN Associated British Foods -0.09% 3 AENA SQ AENA SA 0.67% 3 ADEN VX Adecco SA Reg -0.27% 4 AGN NA Aegon NV 0.80% 4 ADS GY Adidas AG -0.30% 5 AHT LN Ashtead Group 0.25% 5 AH NA Ahold NV -0.96% 6 AI FP Air Liquide 0.63% 6 VNA GY Deutsche Annington Immobilien -0.21% 7 ALV GY Allianz SE 0.51% 7 ASSAB SS Assa Abloy B -0.95% 8 AMS SQ Amadeus IT Hldg SA 0.61% 8 ATC NA Altice NV -0.70% 9 ARM LN ARM Holdings 0.27% 9 ATL IM Atlantia SpA -0.33% 10 ASML NA ASML Holding NV 0.18% 10 ATO FP AtoS -1.00% 11 ATCOA SS Atlas Copco AB A 0.53% 11 AV/ LN Aviva -0.17% 12 ATCOB SS Atlas Copco AB B 0.43% 12 BAER VX Julius Baer Group -0.97% 13 ATLN VX Actelion Ltd 1.43% 13 BARC LN Barclays -1.77% 14 AZN LN AstraZeneca Plc 0.21% 14 BBVA SQ Banco Bilbao Vizcaya Argentaria SA -0.28% 15 BA/ LN BAE Systems Plc 0.54% 15 BDEV LN Barratt Developments -0.05% 16 BALN VX Baloise Hldg Reg 0.08% 16 BKG LN Berkeley Group Holdings Plc -0.19% 17 BAS GY BASF SE 0.76% 17 BKIR ID BANK OF IRELAND -0.02% 18 BATS LN British American Tobacco Plc 1.09% 18 BLT LN BHP Billiton Plc -1.68% 19 BAYN GY Bayer AG 0.64% 19 BMW GY Bayer Motoren Werke AG (BMW) -0.21% 20 BEI GY Beiersdorf AG 0.39% 20 BN FP Danone -0.31% 21 BLND LN British Land Co 1.07% 21 BNP FP BNP Paribas -0.45% 22 BOSS GY HUGO BOSS AG -ORD 0.80% 22 BOL SS Boliden AB -0.12% 23 BRBY LN Burberry Group 0.86% 23 BP/ LN BP -0.35% 24 BT/A LN BT Group 2.02% 24 SKY LN British Sky Broadcasting -1.44% 25 CA FP Carrefour SA 1.16% 25 CABK SQ CaixaBank -1.14% 26 CAP FP Cap Gemini SA 0.05% 26 CARLB DC Carlsberg AS B -0.95% 27 CBK GY Commerzbank AG 1.16% 27 CCL LN Carnival Plc -1.02% 28 CFR VX CIE FINANCIERE RICHEMON-BR A 0.92% 28 CNA LN Centrica -1.23% 29 CNHI IM CNH Industrial 0.76% 29 CSGN VX Credit Suisse Group AG -1.94% 30 COLOB DC Coloplast AS B 0.44% 30 DAI GY Daimler AG -0.36% 31 CON GY Continental AG 0.06% 31 DBK GY Deutsche Bank AG -1.47% 32 CPG LN Compass Group 0.70% 32 DELB BB Delhaize Group -0.27% 33 CPI LN Capita Group 0.10% 33 DLG LN Direct Line Insurance Group PL -0.69% 34 CS FP AXA 1.32% 34 DUFN VX DUFRY AG-REG -3.32% 35 DANSKE DC Danske Bank A/S 1.18% 35 DWNI GY Deutsche Wohnen AG BR -1.54% 36 DB1 GY Deutsche Boerse AG 0.54% 36 EDP PL Electricidade de Portugal SA -0.97% 37 DG FP Vinci 0.54% 37 EI FP Essilor Intl -0.92% 38 DGE LN Diageo Plc 0.17% 38 ELE SQ Endesa SA -0.10% 39 DPW GY Deutsche Post AG 0.53% 39 ENI IM ENI SpA -1.06% 40 DSM NA Koninklijke DSM NV 0.89% 40 EZJ LN Easyjet -0.01% 41 DSY FP Dassault Systemes SA 0.33% 41 FME GY Fresenius Medical -0.90% 42 DTE GY Deutsche Telekom 0.00% 42 FRE GY Fresenius SE & Co KGaA -0.65% 43 AIR FP EADS NV-Euro Aero Defense 0.23% 43 FRES LN Fresnillo PLC -1.10% 44 ELUXB SS Electrolux AB B 0.88% 44 GALN VX Galenica AG -0.92% 45 EOAN GY E.ON AG 0.53% 45 GEBN VX Geberit AG Reg -1.13% 46 ERICB SS ERICSSON LM-B SHS 0.10% 46 GEN DC Genmab AS -0.29% 47 EVK GY Evonik Industries 0.91% 47 GET FP Groupe Eurotunnel SA -0.08% 48 EXPN LN Experian Plc 0.80% 48 GLE FP Societe Generale 0.00% 49 FER SQ Ferrovial SA 0.73% 49 GLEN LN Glencore International PLC -1.02% 50 FP FP TOTAL SA 1.37% 50 ENGI FP GDF Suez -1.06% 51 FR FP Valeo 0.04% 51 HEIA NA Heineken NV -0.98% 52 FUM1V FH Fortum Oyj 1.79% 52 HEN3 GY Henkel AG & Co. KGaA Nvtg Prf -0.23% 53 G IM Assicurazioni Generali SpA 0.42% 53 HEXAB SS Hexagon AB -0.06% 54 G1A GY GEA Group AG 0.22% 54 HMB SS Hennes & Mauritz AB B -0.44% 55 GALP PL Galp Energia SGPS SA 0.97% 55 HSBA LN HSBC Holdings Plc -0.95% 56 GAS SQ Gas Natural SDG SA 0.40% 56 IAG LN International Consolidated Airlines Group SA -1.93% 57 GIVN VX Givaudan AG 0.90% 57 IBE SQ Iberdrola SA -0.77% 58 GKN LN GKN 0.41% 58 IFX GY Infineon Technologies AG -0.85% 59 GSK LN GlaxoSmithKline 1.87% 59 ILD FP ILIAD SA -0.91% 60 HO FP Thales 0.23% 60 INVEB SS Investor AB B -2.79% 61 IHG LN InterContinental Hotels Group Plc 2.21% 61 ISAT LN Inmarsat -0.04% 62 IMB LN Imperial Tobacco 0.10% 62 ISP IM Intesa SanPaolo -0.50% 63 ING FP Ingenico 0.42% 63 ITRK LN Intertek Group PLC -2.14% 64 ITV LN ITV Plc 0.55% 64 KER FP PPR SA -0.47% 65 ITX SQ Inditex SA 0.37% 65 KGF LN Kingfisher -0.88% 66 JMAT LN JOHNSON MATTHEY PLC 0.44% 66 KINVB SS Kinnevik Investment AB B -1.94% 67 KBC BB KBC Group NV 0.68% 67 LI FP Klepierre -1.49% 68 KN FP Natixis 0.40% 68 LLOY LN Lloyds Banking Group Plc -1.40% 69 KNIN VX KUEHNE & NAGEL INTL AG-REG 0.91% 69 LSE LN London Stock Exchange Plc -0.20% 70 KPN NA Koninklijke KPN NV 0.31% 70 LUPE SS Lundin Petroleum A -1.65% 71 LAND LN Land Securities Group PLC 0.57% 71 LUX IM Luxottica Group SpA -0.82% 72 LGEN LN Legal & General Group 1.26% 72 MAERSKB DC AP Moller - Maersk AS B -1.37% 73 LHA GY Deutsche Lufthansa Reg 0.16% 73 MB IM Mediobanca SpA -0.27% 74 LIN GY Linde AG 1.00% 74 MC FP LVMH-Moet Vuitton -0.05% 75 LONN VX Lonza AG 0.19% 75 ML FP Michelin CGDE B Brown -0.07% 76 LR FP Legrand Promesses 0.19% 76 MRK GY MERCK KGaA -1.40% 77 MEO GY METRO AG 1.29% 77 NG/ LN National Grid PLC -0.77% 78 MKS LN Marks & Spencer Group 0.65% 78 NN NA NN Group NV -0.57% 79 MNDI LN Mondi Plc 0.61% 79 NOVN VX Novartis AG Reg -0.90% 80 NDA SS Nordea AB 1.07% 80 NRE1V FH Nokian Renkaat Oyj -0.59% 81 NESTE FH Neste Oil OYJ 0.52% 81 OR FP L'Oreal -0.71% 82 NESN VX Nestle SA Reg 0.11% 82 PAH3 GY Porsche Automobil Holding SE -1.35% 83 NOVOB DC Novo Nordisk AS B 1.27% 83 PHIA NA Koninklijke Philips Electronics NV (Royal Philips Electronics) -1.50% 84 NXT LN Next 1.29% 84 PNDORA DC Pandora A/S -0.27% 85 NZYMB DC Novozymes AS B 0.14% 85 POP SQ Banco Popular Espanol SA -1.17% 86 OML LN Old Mutual 0.16% 86 PRY IM Prysmian SpA -0.04% 87 ORA FP Orange S.A. 0.67% 87 PSN LN Persimmon -0.05% 88 PGHN SE Partners Group Hldg 0.29% 88 PUB FP Publicis Groupe -0.63% 89 PRU LN Prudential Plc 1.83% 89 RAND NA Randstad Hldgs NV -0.59% 90 PSM GY ProSiebenSat.1 Media AG 0.35% 90 RB/ LN Reckitt Benckiser Group PLC -0.20% 91 PSON LN Pearson 0.87% 91 RDSB LN Royal Dutch Shell PLC B -1.26% 92 RACE IM FERRARI NV 2.74% 92 REN NA Reed Elsevier NV -0.13% 93 RBS LN ROYAL BANK OF SCOTLAND GROUP 0.75% 93 REP SQ Repsol-YPF SA -1.12% 94 RDSA LN Royal Dutch Shell PLC 0.54% 94 RIO LN Rio Tinto Plc -0.40% 95 REE SQ Red Electrica Corporacion SA 1.59% 95 RNO FP Renault SA -0.20% 96 REL LN Reed Elsevier 1.10% 96 RRS LN Randgold Resources Ltd -1.03% 97 RI FP Pernod-Ricard 0.17% 97 RXL FP Rexel SA -0.65% 98 RMS FP Hermes Intl 0.54% 98 SAB LN SABMILLER PLC -0.61% 99 ROG VX Roche Hldgs AG Ptg Genus 1.39% 99 SAN SQ Banco Santander SA -0.20% 100 RR/ LN Rolls-Royce Holdings Plc 0.56% 100 SCAB SS SCA-Svenska Cellulosa B -0.42% 101 RWE GY RWE AG 0.47% 101 SEBA SS SEB-Skand Enskilda Banken A -0.11% 102 RYA ID Ryanair Holdings Plc 0.02% 102 SECUB SS Securitas AB B -0.37% 103 SAB SQ Banco de Sabadell SA 0.11% 103 SLHN VX Swiss Life Reg -0.36% 104 SAF FP Safran SA 0.81% 104 SN/ LN Smith & Nephew -1.69% 105 SAMAS FH Sampo Oyj A 0.08% 105 SOLB BB Solvay -0.86% 106 SAN FP Sanofi-Aventis 0.02% 106 SRG IM Snam Rete Gas SpA -0.26% 107 SAP GY SAP AG 0.16% 107 STAN LN Standard Chartered -2.04% 108 SCHP VX Schindler-Hldg AG Ptg 1.04% 108 STM IM STMICROELECTRONICS NV -0.89% 109 SCMN VX Swisscom AG Reg 1.44% 109 SU FP Schneider Electric SA -0.36% 110 SESG FP SES 0.25% 110 SW FP Sodexo -0.45% 111 SEV FP Suez Environment SA 0.66% 111 TEL NO Telenor ASA -0.75% 112 SGE LN Sage Group 0.68% 112 TEN IM Tenaris SA -1.48% 113 SGO FP COMPAGNIE DE SAINT-GOBAIN 0.62% 113 TIT IM Telecom Italia SpA -1.33% 114 SGSN VX SGS-Soc Gen Surveil Hldg Reg 0.74% 114 TPK LN Travis Perkins -0.44% 115 SHBA SS Svenska Handelsbanken A 1.06% 115 TW/ LN Taylor Wimpey -0.05% 116 SIE GY Siemens AG 0.32% 116 UCG IM UNICREDIT SPA -0.16% 117 SIK VX Sika Finanz AG Br 0.38% 117 ULVR LN Unilever -0.17% 118 SKAB SS SKANSKA AB-B 1.70% 118 UPM1V FH UPM-Kymmene Oyj -0.26% 119 SKFB SS SKF AB B 0.50% 119 UU/ LN United Utilities Group Plc -0.19% 120 SL/ LN Standard Life 3.26% 120 VIE FP Veolia Environnement -0.53% 121 SOON VX Sonova Holding AG 0.06% 121 VIV FP Vivendi SA -0.25% 122 SPM IM Saipem SpA Ord 1.54% 122 VOD LN Vodafone Group -1.74% 123 SSE LN Scottish & Southern Energy 0.14% 123 VOW GY Volkswagen AG -1.61% 124 STL NO Statoil ASA 1.52% 124 VOW3 GY Volkswagen AG Nvtg Prf -0.58% 125 SVT LN Severn Trent 0.05% 125 VWS DC Vestas Wind Systems AS -0.16% 126 SWEDA SS Swedbank AB 1.35% 126 WKL NA Wolters Kluwer NV -0.57% 127 SWMA SS Swedish Match AB 0.85% 127 WRT1V FH Wartsila Oyj B -1.54% 128 TEF SQ Telefonica SA 0.32% 128 WTB LN Whitbread -0.53% 129 TKA GY ThyssenKrupp AG 0.83% 129 YAR NO Yara International ASA -0.77% 130 TRN IM Terna SpA 0.25% 130 ZC FP Zodiac Aerospace -1.64% 131 TSCO LN Tesco 0.18% 131 ZURN VX Zurich Financial Services AG -0.35% 132 UBI IM UBI Banca 1.43% 133 UBSG VX UBS GROUP CHF0.10 (REGD) 0.06% 134 UCB BB UCB SA 0.14% 135 UG FP Peugeot SA 1.60% 136 UL NA Unibail - Rodamco 2.99% 137 UMI BB Umicore 0.31% 138 UNA NA Unilever NV 0.37% 139 VOLVB SS Volvo AB B 0.36% 140 VPK NA Vopak NV 0.46% 141 WOS LN Wolseley 0.79% 142 WPP LN WPP Plc 0.38%.
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