Date: 13-Jul-16

Index Weights as of monthly rebalance date 08-Jul-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 1COV GY Covestro AG 0.16% 1 AAL LN Equity Anglo American Plc -0.88% 2 ABBN VX ABB Ltd 0.17% 2 ABI BB Equity Anheuser Busch Inbev NV -0.64% 3 ABF LN Associated British Foods 0.35% 3 AC FP Equity Accor -0.26% 4 ABN NA ABN AMRO Group NV 0.04% 4 ADEN VX Equity Adecco SA Reg -0.14% 5 ACS SQ Actividades Construc Y Serv 1.60% 5 ADN LN Equity Aberdeen Asset Mgmt -0.46% 6 ADM LN Admiral Group 0.87% 6 ADS GY Equity Adidas AG -0.01% 7 AENA SQ AENA SA 0.47% 7 AGN NA Equity Aegon NV -0.90% 8 AI FP Air Liquide 0.41% 8 AH NA Equity Ahold NV -0.31% 9 ALFA SS Alfa Laval AB 0.35% 9 AHT LN Equity Ashtead Group -0.86% 10 ALO FP Alstom 2.74% 10 AKE FP Equity Arkema -0.36% 11 ALV GY Allianz SE 0.83% 11 VNA GY Equity Deutsche Annington Immobilien -0.40% 12 AMS SQ Amadeus IT Hldg SA 0.27% 12 ASML NA Equity ASML Holding NV -0.19% 13 ARM LN ARM Holdings 0.30% 13 ASSAB SS Equity Assa Abloy B -0.86% 14 ARYN VX Aryzta AG 0.06% 14 ATC NA Equity Altice NV -1.33% 15 ATCOA SS Atlas Copco AB A 0.26% 15 ATO FP Equity AtoS -0.95% 16 ATL IM Atlantia SpA 0.20% 16 BAER VX Equity Julius Baer Group -0.09% 17 ATLN VX Actelion Ltd 1.34% 17 BARC LN Equity Barclays -1.41% 18 AUTO LN Auto Trader Group PLC 0.87% 18 BBVA SQ Equity Banco Bilbao Vizcaya Argentaria SA -0.94% 19 AV/ LN Aviva 0.20% 19 BEI GY Equity Beiersdorf AG -0.07% 20 AZN LN AstraZeneca Plc 0.17% 20 BLND LN Equity Co -0.02% 21 BA/ LN BAE Systems Plc 0.40% 21 BLT LN Equity BHP Billiton Plc -1.24% 22 BAB LN Babcock Intl Group 0.34% 22 BN FP Equity Danone -0.77% 23 BALN VX Baloise Hldg Reg 0.29% 23 BNR GY Equity Brenntag AG -0.75% 24 BAS GY BASF SE 0.77% 24 BOL SS Equity Boliden AB -0.71% 25 BATS LN British American Tobacco Plc 1.07% 25 BOSS GY Equity HUGO BOSS AG -ORD -0.01% 26 BAYN GY Bayer AG 0.95% 26 BP/ LN Equity BP -0.15% 27 BDEV LN 0.42% 27 BRBY LN Equity Burberry Group -0.23% 28 BELG BB Belgacom SA 0.90% 28 BVI FP Equity Bureau Veritas SA -0.28% 29 BKG LN Plc 0.09% 29 CABK SQ Equity CaixaBank -0.90% 30 BKIA SQ Bankia SA 0.15% 30 CAP FP Equity Cap Gemini SA -0.85% 31 BKIR ID BANK OF IRELAND 0.66% 31 CARLB DC Equity Carlsberg AS B -0.37% 32 BMW GY Bayer Motoren Werke AG (BMW) 0.18% 32 CBK GY Equity Commerzbank AG -1.13% 33 BNP FP BNP Paribas 0.70% 33 CCL LN Equity Carnival Plc -0.59% 34 BNZL LN Bunzl 0.11% 34 CNA LN Equity Centrica -0.27% 35 BOKA NA Boskalis Westminster Group 0.31% 35 CNHI IM Equity CNH Industrial -0.33% 36 BSY LN British Sky Broadcasting 0.11% 36 DC/ LN Equity Carphone Warehouse Group -1.02% 37 BT/A LN BT Group 0.19% 37 CSGN VX Equity Credit Suisse Group AG -1.66% 38 CA FP Carrefour SA 0.28% 38 DAI GY Equity Daimler AG -0.33% 39 CFR VX CIE FINANCIERE RICHEMON-BR A 0.84% 39 DBK GY Equity Deutsche Bank AG -0.93% 40 COLOB DC Coloplast AS B 0.91% 40 DSV DC Equity Dsv A/S -1.22% 41 COLR BB Colruyt SA 0.44% 41 DUFN VX Equity DUFRY AG-REG -3.18% 42 CON GY Continental AG 0.45% 42 AIR FP Equity EADS NV-Euro Aero Defense -0.18% 43 CPG LN Compass Group 0.64% 43 EDP PL Equity Electricidade de Portugal SA -0.02% 44 CPI LN Capita Group 0.39% 44 EI FP Equity Essilor Intl -0.85% 45 CS FP AXA 1.16% 45 ELE SQ Equity Endesa SA -0.43% 46 DANSKE DC Danske Bank A/S 0.18% 46 ELISA FH Equity Elisa Communications Oyi -0.04% 47 DCC LN DCC PLC 0.45% 47 ENI IM Equity ENI SpA -0.33% 48 DELB BB Delhaize Group 0.36% 48 EOAN GY Equity E.ON AG -0.06% 49 DG FP Vinci 0.37% 49 FGR FP Equity Eiffage -0.22% 50 DGE LN Diageo Plc 0.26% 50 FME GY Equity Fresenius Medical -0.60% 51 DLG LN Direct Line Insurance Group PL 0.47% 51 FRE GY Equity Fresenius SE & Co KGaA -0.06% 52 DNB NO DNB ASA 0.31% 52 FRES LN Equity Fresnillo PLC -1.57% 53 DPW GY Deutsche Post AG 0.74% 53 G1A GY Equity GEA Group AG -0.35% 54 DSM NA Koninklijke DSM NV 0.79% 54 GALN VX Equity Galenica AG -0.34% 55 DSY FP Dassault Systemes SA 0.23% 55 GAS SQ Equity Gas Natural SDG SA -0.30% 56 DTE GY Deutsche Telekom 0.83% 56 GEBN VX Equity Geberit AG Reg -0.69% 57 DWNI GY Deutsche Wohnen AG BR 0.67% 57 GEN DC Equity Genmab AS -1.15% 58 EBS AV Erste Group Bank AG 0.00% 58 GET FP Equity Groupe Eurotunnel SA -0.89% 59 EDEN FP Edenred 1.33% 59 GLEN LN Equity Glencore International PLC -0.12% 60 ELUXB SS Electrolux AB B 1.79% 60 ENGI FP Equity GDF Suez -0.42% 61 EN FP Bouygues 0.13% 61 HEIA NA Equity Heineken NV -0.50% 62 ERICB SS ERICSSON LM-B SHS 0.11% 62 HEN3 GY Equity Henkel AG & Co. KGaA Nvtg Prf -0.37% 63 ETL FP Eutelsat Communications Promesses 0.25% 63 HMB SS Equity Hennes & Mauritz AB B -0.80% 64 EVK GY Evonik Industries 0.77% 64 HSBA LN Equity HSBC Holdings Plc -0.85% 65 EXPN LN Experian Plc 1.18% 65 IBE SQ Equity Iberdrola SA -0.33% 66 EZJ LN Easyjet 0.50% 66 IFX GY Equity Infineon Technologies AG -0.37% 67 FER SQ Ferrovial SA 0.36% 67 ILD FP Equity ILIAD SA -0.88% 68 FNC IM Finmeccanica SpA Ord 1.21% 68 IMB LN Equity Imperial Tobacco -0.46% 69 FP FP TOTAL SA 0.07% 69 ING FP Equity Ingenico -0.11% 70 FSA IM UNIPOLSAI SPA 0.08% 70 INVEB SS Equity Investor AB B -2.22% 71 FUM1V FH Fortum Oyj 0.86% 71 ISAT LN Equity Inmarsat -0.39% 72 G IM Assicurazioni Generali SpA 0.74% 72 ISP IM Equity Intesa SanPaolo -0.28% 73 GALP PL Galp Energia SGPS SA 0.02% 73 ITRK LN Equity Intertek Group PLC -1.31% 74 GIVN VX Givaudan AG 0.55% 74 JMAT LN Equity JOHNSON MATTHEY PLC -0.16% 75 GKN LN GKN 0.08% 75 KBC BB Equity KBC Group NV -0.02% 76 GLE FP Societe Generale 0.57% 76 KER FP Equity PPR SA -0.60% 77 GSK LN GlaxoSmithKline 0.12% 77 KGF LN Equity Kingfisher -0.61% 78 HEI GY HeidelbergCement AG 0.26% 78 KYG ID Equity Kerry Group A -0.61% 79 HEXAB SS Hexagon AB 0.19% 79 LAND LN Equity Land Securities Group PLC -0.79% 80 HL/ LN Hargreaves Landsdown Plc 1.64% 80 LI FP Equity Klepierre -0.68% 81 HMSO LN 1.22% 81 LLOY LN Equity Lloyds Banking Group Plc -0.93% 82 HNR1 GY Hannover Ruckversicherungs AG Reg 0.80% 82 LR FP Equity Legrand Promesses -0.18% 83 HO FP Thales 0.50% 83 LUPE SS Equity Lundin Petroleum A -1.29% 84 HOT GY HOCHTIEF AG 1.10% 84 LUX IM Equity Luxottica Group SpA -0.35% 85 IAG LN International Consolidated Airlines Group SA 0.10% 85 MAERSKB DC Equity AP Moller - Maersk AS B -1.31% 86 IHG LN InterContinental Hotels Group Plc 1.33% 86 MB IM Equity Mediobanca SpA -0.64% 87 III LN 3I Group 1.39% 87 MHG NO Equity Marine Harvest ASA -1.48% 88 INGA NA ING Groep NV 0.29% 88 MKS LN Equity Marks & Spencer Group -0.41% 89 INTU LN Capital Shopping Centres Group 0.92% 89 MRK GY Equity MERCK KGaA -0.95% 90 ISPR IM Intesa Sanpaolo SpA Rnc 0.30% 90 MUV2 GY Equity Munich Re AG -0.83% 91 ITV LN ITV Plc 0.59% 91 NG/ LN Equity National Grid PLC -0.03% 92 ITX SQ Inditex SA 0.20% 92 NN NA Equity NN Group NV -0.14% 93 KN FP Natixis 0.52% 93 NOVN VX Equity Novartis AG Reg -0.67% 94 KNEBV FH Kone Corp B 0.81% 94 NRE1V FH Equity Nokian Renkaat Oyj -1.42% 95 KNIN VX KUEHNE & NAGEL INTL AG-REG 1.13% 95 OML LN Equity Old Mutual -0.03% 96 KPN NA Koninklijke KPN NV 0.18% 96 OR FP Equity L'Oreal -0.13% 97 LGEN LN Legal & General Group 0.86% 97 OSR GY Equity Osram Light AG -0.01% 98 LIN GY Linde AG 0.54% 98 PAH3 GY Equity Porsche Automobil Holding SE -0.96% 99 LONN VX Lonza AG 0.12% 99 PHIA NA Equity Koninklijke Philips Electronics NV (Royal Philips Electronics) -1.05% 100 LXS GY Lanxess AG 0.99% 100 POP SQ Equity Banco Popular Espanol SA -0.78% 101 MC FP LVMH-Moet Vuitton 0.18% 101 PRY IM Equity Prysmian SpA -0.40% 102 MEO GY METRO AG 0.30% 102 PST IM Equity Poste Italiane SpA -0.22% 103 ML FP Michelin CGDE B Brown 0.11% 103 PUB FP Equity Publicis Groupe -0.30% 104 MNDI LN Mondi Plc 0.47% 104 RBS LN Equity ROYAL BANK OF SCOTLAND GROUP -1.45% 105 MT NA ArcelorMittal 0.26% 105 RDSA LN Equity Royal Dutch Shell PLC -0.26% 106 NDA SS Nordea AB 0.58% 106 RDSB LN Equity Royal Dutch Shell PLC B -0.86% 107 NES1V FH Neste Oil OYJ 0.17% 107 REP SQ Equity Repsol-YPF SA -1.23% 108 NESN VX Nestle SA Reg 0.36% 108 RI FP Equity Pernod-Ricard -0.43% 109 NHY NO Norsk Hydro AS 0.19% 109 RIO LN Equity Rio Tinto Plc -0.08% 110 NOK1V FH Nokia OYJ 1.74% 110 RMG LN Equity ROYAL MAIL PLC ORD GBP0.01 -1.17% 111 NOVOB DC Novo Nordisk AS B 1.88% 111 RR/ LN Equity Rolls-Royce Holdings Plc -0.18% 112 NXT LN Next 0.80% 112 RRS LN Equity Randgold Resources Ltd -1.00% 113 NZYMB DC Novozymes AS B 0.29% 113 RSA LN Equity RSA Insurance Group Plc -0.55% 114 ORA FP Orange S.A. 0.14% 114 RWE GY Equity RWE AG -0.26% 115 PFC LN Petrofac 0.46% 115 RYA ID Equity Ryanair Holdings Plc -0.04% 116 PGHN SE Partners Group Hldg 0.63% 116 SAB LN Equity SABMILLER PLC -0.81% 117 PNDORA DC Pandora A/S 0.58% 117 SAF FP Equity Safran SA -0.73% 118 PRU LN Prudential Plc 0.96% 118 SCAB SS Equity SCA-Svenska Cellulosa B -0.44% 119 PSN LN Persimmon 0.41% 119 SEBA SS Equity SEB-Skand Enskilda Banken A -0.78% 120 PSON LN Pearson 0.21% 120 SECUB SS Equity Securitas AB B -0.06% 121 RACE IM FERRARI NV 1.05% 121 SESG FP Equity SES -0.24% 122 RAND NA Randstad Hldgs NV 0.40% 122 SEV FP Equity Suez Environment SA -0.28% 123 RB/ LN Reckitt Benckiser Group PLC 0.45% 123 SGE LN Equity Sage Group -0.38% 124 REE SQ Red Electrica Corporacion SA 1.16% 124 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN -0.01% 125 REL LN Reed Elsevier 1.52% 125 SHP LN Equity Shire Plc -0.91% 126 REN NA Reed Elsevier NV 0.41% 126 SIE GY Equity Siemens AG -0.59% 127 RMS FP Hermes Intl 0.09% 127 SN/ LN Equity Smith & Nephew -1.13% 128 RNO FP Renault SA 0.07% 128 SOLB BB Equity Solvay -1.29% 129 ROG VX Roche Hldgs AG Ptg Genus 1.22% 129 SOON VX Equity Sonova Holding AG -0.21% 130 RXL FP Rexel SA 0.14% 130 SPSN SE Equity Swiss Prime Site -0.50% 131 SAB SQ Banco de Sabadell SA 0.33% 131 SRG IM Equity Snam Rete Gas SpA -0.02% 132 SAMAS FH Sampo Oyj A 0.07% 132 SSE LN Equity Scottish & Southern Energy -0.06% 133 SAN FP Sanofi-Aventis 0.40% 133 STAN LN Equity Standard Chartered -1.08% 134 SAN SQ Banco Santander SA 0.52% 134 STERV FH Equity Stora Enso OYJ R -0.34% 135 SAND SS Sandvik AB 0.59% 135 STJ LN Equity St James's Place -0.05% 136 SAP GY SAP AG 0.07% 136 STM IM Equity STMICROELECTRONICS NV -0.16% 137 SCMN VX Swisscom AG Reg 1.35% 137 SU FP Equity Schneider Electric SA -0.39% 138 SDR LN Schroders Plc 1.68% 138 SW FP Equity Sodexo -0.20% 139 SGSN VX SGS-Soc Gen Surveil Hldg Reg 0.44% 139 SY1 GY Equity Symrise AG -0.20% 140 SHBA SS Svenska Handelsbanken A 0.68% 140 TEF SQ Equity Telefonica SA -0.16% 141 SKAB SS SKANSKA AB-B 0.90% 141 TEL2B SS Equity Tele2 AB B -0.34% 142 SKFB SS SKF AB B 0.06% 142 TEN IM Equity Tenaris SA -0.91% 143 SL/ LN Standard Life 1.52% 143 TITR IM Equity Telecom Italia SpA Rnc -0.62% 144 SLHN VX Swiss Life Reg 0.44% 144 TPK LN Equity Travis Perkins -0.19% 145 SMIN LN Smiths Group 0.13% 145 TRN IM Equity Terna SpA -0.05% 146 SPM IM Saipem SpA Ord 1.13% 146 TUI LN Equity TUI AG -0.32% 147 SREN VX Swiss Re Reg 0.27% 147 UBI IM Equity UBI Banca -1.20% 148 STL NO Statoil ASA 0.96% 148 UBSG VX Equity UBS GROUP CHF0.10 (REGD) -0.67% 149 SVT LN Severn Trent 0.83% 149 UCB BB Equity UCB SA -0.24% 150 SWEDA SS Swedbank AB 0.82% 150 UPM1V FH Equity UPM-Kymmene Oyj -0.11% 151 SWMA SS Swedish Match AB 1.37% 151 UTDI GY Equity United Internet AG Reg -0.77% 152 TEC FP Technip SA 1.54% 152 VIE FP Equity Veolia Environnement -0.55% 153 TEL NO Telenor ASA 0.06% 153 VOD LN Equity Vodafone Group -1.83% 154 TIT IM Telecom Italia SpA 0.60% 154 VOLVB SS Equity Volvo AB B -0.20% 155 TKA GY ThyssenKrupp AG 1.15% 155 VOW GY Equity Volkswagen AG -1.16% 156 TSCO LN Tesco 0.58% 156 VOW3 GY Equity Volkswagen AG Nvtg Prf -0.42% 157 TW/ LN 0.59% 157 WEIR LN Equity Weir Group -1.97% 158 UCG IM UNICREDIT SPA 0.20% 158 WRT1V FH Equity Wartsila Oyj B -1.73% 159 UG FP Peugeot SA 1.01% 159 WTB LN Equity Whitbread -1.22% 160 ULVR LN Unilever 0.57% 160 YAR NO Equity Yara International ASA -0.03% 161 UMI BB Umicore 0.49% 161 ZC FP Equity Zodiac Aerospace -2.38% 162 UNA NA Unilever NV 0.94% 162 ZURN VX Equity Zurich Financial Services AG -1.07% 163 UU/ LN United Utilities Group Plc 0.26% 164 VIV FP Vivendi SA 1.18% 165 VPK NA Vopak NV 0.69% 166 VWS DC Vestas Wind Systems AS 0.22% 167 WKL NA Wolters Kluwer NV 0.13% 168 WOS LN Wolseley 0.57% 169 WPP LN WPP Plc 0.65%