Date: 13-Jul-16

Index Weights as of monthly rebalance date 08-Jul-16

Citi Pure Inverse Size Europe TR Index (CIISSCET) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 1COV GY Equity Covestro AG 0.56% 1 ABBN VX Equity ABB Ltd -0.98% 2 AAL LN Equity Anglo American Plc 0.24% 2 ABI BB Equity Anheuser Busch Inbev NV -1.93% 3 ABF LN Equity Associated British Foods 0.06% 3 ADS GY Equity Adidas AG -0.33% 4 ABN NA Equity ABN AMRO Group NV 0.02% 4 AENA SQ Equity AENA SA -0.25% 5 AC FP Equity Accor 0.57% 5 AI FP Equity Air Liquide -0.85% 6 ACS SQ Equity Actividades Construc Y Serv 0.40% 6 ALV GY Equity Allianz SE -1.14% 7 ADEN VX Equity Adecco SA Reg 0.21% 7 ARM LN Equity ARM Holdings -0.36% 8 ADM LN Equity Admiral Group 0.42% 8 ASML NA Equity ASML Holding NV -0.91% 9 ADN LN Equity Aberdeen Asset Mgmt 0.91% 9 ASSAB SS Equity Assa Abloy B -0.75% 10 AGN NA Equity Aegon NV 0.46% 10 ATC NA Equity Altice NV -0.26% 11 AH NA Equity Ahold NV 0.55% 11 ATCOA SS Equity Atlas Copco AB A -0.97% 12 AHT LN Equity Ashtead Group 0.24% 12 ATL IM Equity Atlantia SpA -0.97% 13 AKE FP Equity Arkema 0.66% 13 AZN LN Equity AstraZeneca Plc -0.63% 14 ALFA SS Equity Alfa Laval AB 0.50% 14 BA/ LN Equity BAE Systems Plc -0.58% 15 ALO FP Equity Alstom 0.54% 15 BARC LN Equity Barclays -0.79% 16 AMS SQ Equity Amadeus IT Hldg SA 0.14% 16 BAS GY Equity BASF SE -1.21% 17 VNA GY Equity Deutsche Annington Immobilien 0.19% 17 BATS LN Equity British American Tobacco Plc -1.34% 18 ARYN VX Equity Aryzta AG 1.97% 18 BAYN GY Equity Bayer AG -0.64% 19 ATLN VX Equity Actelion Ltd 0.52% 19 BBVA SQ Equity Banco Bilbao Vizcaya Argentaria SA -0.62% 20 ATO FP Equity AtoS 0.55% 20 BLT LN Equity BHP Billiton Plc -1.32% 21 AUTO LN Equity Auto Trader Group PLC 0.95% 21 BMW GY Equity Bayer Motoren Werke AG (BMW) -0.81% 22 AV/ LN Equity Aviva 0.11% 22 BN FP Equity Danone -0.02% 23 BAB LN Equity Babcock Intl Group 0.41% 23 BNP FP Equity BNP Paribas -1.13% 24 BAER VX Equity Julius Baer Group 0.40% 24 BP/ LN Equity BP -1.31% 25 BALN VX Equity Baloise Hldg Reg 1.02% 25 SKY LN Equity British Sky Broadcasting -0.27% 26 BDEV LN Equity Barratt Developments 0.71% 26 BT/A LN Equity BT Group -1.19% 27 BEI GY Equity Beiersdorf AG 0.66% 27 CCL LN Equity Carnival Plc -0.89% 28 PROX BB Equity Belgacom SA 0.26% 28 CFR VX Equity CIE FINANCIERE RICHEMON-BR A -0.78% 29 BKG LN Equity Berkeley Group Holdings Plc 0.84% 29 CNHI IM Equity CNH Industrial -0.12% 30 BKIA SQ Equity Bankia SA 0.64% 30 CON GY Equity Continental AG -0.67% 31 BKIR ID Equity BANK OF IRELAND 0.37% 31 CPG LN Equity Compass Group -0.66% 32 BLND LN Equity British Land Co 0.71% 32 CS FP Equity AXA -0.97% 33 BNR GY Equity Brenntag AG 0.58% 33 CSGN VX Equity Credit Suisse Group AG -0.21% 34 BNZL LN Equity Bunzl 0.07% 34 DAI GY Equity Daimler AG -1.33% 35 BOKA NA Equity Boskalis Westminster Group 0.91% 35 DANSKE DC Equity Danske Bank A/S -0.56% 36 BOL SS Equity Boliden AB 0.64% 36 DG FP Equity Vinci -0.79% 37 BOSS GY Equity HUGO BOSS AG -ORD 1.52% 37 DGE LN Equity Diageo Plc -0.75% 38 BRBY LN Equity Burberry Group 0.62% 38 DNB NO Equity DNB ASA -0.32% 39 BVI FP Equity Bureau Veritas SA 0.27% 39 DPW GY Equity Deutsche Post AG -0.76% 40 CA FP Equity Carrefour SA 0.66% 40 DSY FP Equity Dassault Systemes SA -0.07% 41 CABK SQ Equity CaixaBank 0.26% 41 DTE GY Equity Deutsche Telekom -1.00% 42 CAP FP Equity Cap Gemini SA 0.18% 42 AIR FP Equity EADS NV-Euro Aero Defense -1.12% 43 CARLB DC Equity Carlsberg AS B 0.98% 43 EDP PL Equity Electricidade de Portugal SA -0.08% 44 CBK GY Equity Commerzbank AG 0.54% 44 ELE SQ Equity Endesa SA 0.00% 45 CNA LN Equity Centrica 0.05% 45 ENI IM Equity ENI SpA -1.11% 46 COLOB DC Equity Coloplast AS B 0.69% 46 ERICB SS Equity ERICSSON LM-B SHS -0.47% 47 COLR BB Equity Colruyt SA 1.07% 47 EXPN LN Equity Experian Plc -0.52% 48 CPI LN Equity Capita Group 0.09% 48 FER SQ Equity Ferrovial SA -0.05% 49 DC/ LN Equity Carphone Warehouse Group 0.79% 49 FP FP Equity TOTAL SA -1.10% 50 DBK GY Equity Deutsche Bank AG 0.24% 50 FRES LN Equity Fresnillo PLC -0.35% 51 DCC LN Equity DCC PLC 0.23% 51 G IM Equity Assicurazioni Generali SpA -0.73% 52 DELB BB Equity Delhaize Group 0.63% 52 GAS SQ Equity Gas Natural SDG SA -0.08% 53 DLG LN Equity Direct Line Insurance Group PL 0.78% 53 GEBN VX Equity Geberit AG Reg -0.22% 54 DSM NA Equity Koninklijke DSM NV 0.26% 54 GIVN VX Equity Givaudan AG -0.35% 55 DSV DC Equity Dsv A/S 0.44% 55 GLE FP Equity Societe Generale -0.53% 56 DUFN VX Equity DUFRY AG-REG 0.59% 56 GSK LN Equity GlaxoSmithKline -0.94% 57 DWNI GY Equity Deutsche Wohnen AG BR 0.41% 57 ENGI FP Equity GDF Suez -0.47% 58 EBS AV Equity Erste Group Bank AG 0.00% 58 HEI GY Equity HeidelbergCement AG -0.09% 59 EDEN FP Equity Edenred 0.94% 59 HEIA NA Equity Heineken NV -0.45% 60 EI FP Equity Essilor Intl 0.34% 60 HEN3 GY Equity Henkel AG & Co. KGaA Nvtg Prf -0.26% 61 ELISA FH Equity Elisa Communications Oyi 0.76% 61 HEXAB SS Equity Hexagon AB -0.01% 62 ELUXB SS Equity Electrolux AB B 0.50% 62 HMB SS Equity Hennes & Mauritz AB B -1.25% 63 EN FP Equity Bouygues 0.42% 63 HO FP Equity Thales -0.40% 64 EOAN GY Equity E.ON AG 0.09% 64 HSBA LN Equity HSBC Holdings Plc -1.91% 65 ETL FP Equity Eutelsat Communications Promesses 1.26% 65 IAG LN Equity International Consolidated Airlines Group SA -0.24% 66 EVK GY Equity Evonik Industries 0.14% 66 IBE SQ Equity Iberdrola SA -0.68% 67 EZJ LN Equity Easyjet 0.44% 67 IMB LN Equity Imperial Tobacco -0.41% 68 FGR FP Equity Eiffage 0.68% 68 INGA NA Equity ING Groep NV -0.98% 69 FME GY Equity Fresenius Medical 0.44% 69 INVEB SS Equity Investor AB B -0.66% 70 LDO IM Equity Finmeccanica SpA Ord 0.04% 70 ISP IM Equity Intesa SanPaolo -1.23% 71 FRE GY Equity Fresenius SE & Co KGaA 0.02% 71 ITX SQ Equity Inditex SA -1.34% 72 US IM Equity UNIPOLSAI SPA 0.74% 72 KBC BB Equity KBC Group NV -0.59% 73 FUM1V FH Equity Fortum Oyj 0.18% 73 KER FP Equity PPR SA -0.10% 74 G1A GY Equity GEA Group AG 0.57% 74 KNEBV FH Equity Kone Corp B -1.01% 75 GALN VX Equity Galenica AG 1.14% 75 KNIN VX Equity KUEHNE & NAGEL INTL AG-REG -0.20% 76 GALP PL Equity Galp Energia SGPS SA 0.08% 76 LGEN LN Equity Legal & General Group -0.17% 77 GEN DC Equity Genmab AS 1.01% 77 LIN GY Equity Linde AG -0.37% 78 GET FP Equity Groupe Eurotunnel SA 0.63% 78 LLOY LN Equity Lloyds Banking Group Plc -1.22% 79 GKN LN Equity GKN 0.75% 79 LUX IM Equity Luxottica Group SpA -0.77% 80 GLEN LN Equity Glencore International PLC 0.15% 80 MAERSKB DC Equity AP Moller - Maersk AS B -0.38% 81 HL/ LN Equity Hargreaves Landsdown Plc 0.40% 81 MC FP Equity LVMH-Moet Vuitton -1.35% 82 HMSO LN Equity Hammerson 0.87% 82 MUV2 GY Equity Munich Re AG -0.22% 83 HNR1 GY Equity Hannover Ruckversicherungs AG Reg 0.38% 83 NDA SS Equity Nordea AB -0.72% 84 HOT GY Equity HOCHTIEF AG 0.42% 84 NESN VX Equity Nestle SA Reg -1.49% 85 IFX GY Equity Infineon Technologies AG 0.08% 85 NG/ LN Equity National Grid PLC -1.06% 86 IHG LN Equity InterContinental Hotels Group Plc 0.37% 86 NOKIA FH Equity Nokia OYJ -0.89% 87 III LN Equity 3I Group 0.73% 87 NOVN VX Equity Novartis AG Reg -1.32% 88 ILD FP Equity ILIAD SA 0.37% 88 NOVOB DC Equity Novo Nordisk AS B -1.41% 89 ING FP Equity Ingenico 0.59% 89 NZYMB DC Equity Novozymes AS B -0.15% 90 INTU LN Equity Capital Shopping Centres Group 1.92% 90 OR FP Equity L'Oreal -0.93% 91 ISAT LN Equity Inmarsat 0.98% 91 ORA FP Equity Orange S.A. -0.54% 92 ISPR IM Equity Intesa Sanpaolo SpA Rnc 1.24% 92 PHIA NA Equity Koninklijke Philips Electronics NV (Royal Philips Electronics) -0.46% 93 ITRK LN Equity Intertek Group PLC 0.34% 93 PNDORA DC Equity Pandora A/S -0.29% 94 ITV LN Equity ITV Plc 0.24% 94 PRU LN Equity Prudential Plc -1.12% 95 JMAT LN Equity JOHNSON MATTHEY PLC 0.29% 95 PST IM Equity Poste Italiane SpA -0.12% 96 KGF LN Equity Kingfisher 0.50% 96 RACE IM Equity FERRARI NV -0.28% 97 KN FP Equity Natixis 0.34% 97 RB/ LN Equity Reckitt Benckiser Group PLC -0.76% 98 KPN NA Equity Koninklijke KPN NV 0.30% 98 RBS LN Equity ROYAL BANK OF SCOTLAND GROUP -0.39% 99 KYG ID Equity Kerry Group A 0.42% 99 RDSA LN Equity Royal Dutch Shell PLC -1.81% 100 LAND LN Equity Land Securities Group PLC 0.13% 100 RDSB LN Equity Royal Dutch Shell PLC B -0.86% 101 LI FP Equity Klepierre 0.13% 101 REL LN Equity Reed Elsevier -0.92% 102 LONN VX Equity Lonza AG 1.16% 102 REN NA Equity Reed Elsevier NV -0.74% 103 LR FP Equity Legrand Promesses 0.02% 103 RIO LN Equity Rio Tinto Plc -1.08% 104 LUPE SS Equity Lundin Petroleum A 1.13% 104 RMS FP Equity Hermes Intl -0.75% 105 LXS GY Equity Lanxess AG 1.15% 105 RNO FP Equity Renault SA -0.32% 106 MB IM Equity Mediobanca SpA 0.40% 106 ROG VX Equity Roche Hldgs AG Ptg Genus -1.62% 107 MEO GY Equity METRO AG 1.27% 107 RR/ LN Equity Rolls-Royce Holdings Plc -0.31% 108 MHG NO Equity Marine Harvest ASA 1.31% 108 RYA ID Equity Ryanair Holdings Plc -0.79% 109 MKS LN Equity Marks & Spencer Group 0.58% 109 SAB LN Equity SABMILLER PLC -0.93% 110 ML FP Equity Michelin CGDE B Brown 0.10% 110 SAF FP Equity Safran SA -0.76% 111 MNDI LN Equity Mondi Plc 0.03% 111 SAMAS FH Equity Sampo Oyj A -0.67% 112 MRK GY Equity MERCK KGaA 0.07% 112 SAN FP Equity Sanofi-Aventis -0.85% 113 MT NA Equity ArcelorMittal 0.42% 113 SAN SQ Equity Banco Santander SA -0.83% 114 NESTE FH Equity Neste Oil OYJ 0.29% 114 SAP GY Equity SAP AG -1.37% 115 NHY NO Equity Norsk Hydro AS 0.27% 115 SCMN VX Equity Swisscom AG Reg -0.15% 116 NN NA Equity NN Group NV 0.38% 116 SEBA SS Equity SEB-Skand Enskilda Banken A -0.27% 117 NRE1V FH Equity Nokian Renkaat Oyj 0.98% 117 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN -0.33% 118 NXT LN Equity Next 0.28% 118 SGSN VX Equity SGS-Soc Gen Surveil Hldg Reg -0.31% 119 OML LN Equity Old Mutual 0.06% 119 SHBA SS Equity Svenska Handelsbanken A -0.45% 120 OSR GY Equity Osram Light AG 1.00% 120 SHP LN Equity Shire Plc -0.21% 121 PAH3 GY Equity Porsche Automobil Holding SE 0.47% 121 SIE GY Equity Siemens AG -1.45% 122 PFC LN Equity Petrofac 1.15% 122 SOLB BB Equity Solvay -0.07% 123 PGHN SE Equity Partners Group Hldg 0.12% 123 SREN VX Equity Swiss Re Reg -0.40% 124 POP SQ Equity Banco Popular Espanol SA 1.34% 124 SRG IM Equity Snam Rete Gas SpA -0.80% 125 PRY IM Equity Prysmian SpA 0.31% 125 SSE LN Equity Scottish & Southern Energy -0.18% 126 PSN LN Equity Persimmon 0.64% 126 STAN LN Equity Standard Chartered -0.21% 127 PSON LN Equity Pearson 0.50% 127 STL NO Equity Statoil ASA -0.79% 128 PUB FP Equity Publicis Groupe 0.07% 128 SU FP Equity Schneider Electric SA -0.74% 129 RAND NA Equity Randstad Hldgs NV 0.31% 129 SWEDA SS Equity Swedbank AB -0.54% 130 REE SQ Equity Red Electrica Corporacion SA 0.34% 130 TEF SQ Equity Telefonica SA -0.61% 131 REP SQ Equity Repsol-YPF SA 0.50% 131 TEL NO Equity Telenor ASA -0.46% 132 RI FP Equity Pernod-Ricard 0.19% 132 TEN IM Equity Tenaris SA -0.18% 133 RMG LN Equity ROYAL MAIL PLC ORD GBP0.01 0.68% 133 TIT IM Equity Telecom Italia SpA -0.22% 134 RRS LN Equity Randgold Resources Ltd 0.06% 134 TRN IM Equity Terna SpA -0.15% 135 RSA LN Equity RSA Insurance Group Plc 0.64% 135 UBSG VX Equity UBS GROUP CHF0.10 (REGD) -1.07% 136 RWE GY Equity RWE AG 0.88% 136 UCG IM Equity UNICREDIT SPA -0.52% 137 RXL FP Equity Rexel SA 1.21% 137 ULVR LN Equity Unilever -1.23% 138 SAB SQ Equity Banco de Sabadell SA 0.84% 138 UNA NA Equity Unilever NV -1.18% 139 SAND SS Equity Sandvik AB 0.00% 139 UPM1V FH Equity UPM-Kymmene Oyj -0.02% 140 SCAB SS Equity SCA-Svenska Cellulosa B 0.26% 140 VIV FP Equity Vivendi SA -0.20% 141 SDR LN Equity Schroders Plc 0.23% 141 VOD LN Equity Vodafone Group -1.10% 142 SECUB SS Equity Securitas AB B 0.51% 142 VOLVB SS Equity Volvo AB B -0.69% 143 SESG FP Equity SES 0.55% 143 VOW GY Equity Volkswagen AG -0.36% 144 SEV FP Equity Suez Environment SA 0.61% 144 VOW3 GY Equity Volkswagen AG Nvtg Prf -0.78% 145 SGE LN Equity Sage Group 0.41% 145 VWS DC Equity Vestas Wind Systems AS -0.34% 146 SKAB SS Equity SKANSKA AB-B 0.08% 146 WOS LN Equity Wolseley -0.44% 147 SKFB SS Equity SKF AB B 0.37% 147 WPP LN Equity WPP Plc -0.55% 148 SL/ LN Equity Standard Life 0.34% 148 YAR NO Equity Yara International ASA -0.01% 149 SLHN VX Equity Swiss Life Reg 0.53% 149 ZURN VX Equity Zurich Financial Services AG -0.61% 150 SMIN LN Equity Smiths Group 0.59% 151 SN/ LN Equity Smith & Nephew 0.67% 152 SOON VX Equity Sonova Holding AG 1.19% 153 SPM IM Equity Saipem SpA Ord 1.85% 154 SPSN SE Equity Swiss Prime Site 0.84% 155 STERV FH Equity Stora Enso OYJ R 0.27% 156 STJ LN Equity St James's Place 0.75% 157 STM IM Equity STMICROELECTRONICS NV 0.52% 158 SVT LN Equity Severn Trent 0.61% 159 SW FP Equity Sodexo 0.10% 160 SWMA SS Equity Swedish Match AB 1.22% 161 SY1 GY Equity Symrise AG 0.39% 162 TEC FP Equity Technip SA 1.14% 163 TEL2B SS Equity Tele2 AB B 1.57% 164 TITR IM Equity Telecom Italia SpA Rnc 1.02% 165 TKA GY Equity ThyssenKrupp AG 0.08% 166 TPK LN Equity Travis Perkins 0.64% 167 TSCO LN Equity Tesco 0.42% 168 TUI LN Equity TUI AG 0.50% 169 TW/ LN Equity Taylor Wimpey 0.80% 170 UBI IM Equity UBI Banca 1.06% 171 UCB BB Equity UCB SA 0.36% 172 UG FP Equity Peugeot SA 0.35% 173 UMI BB Equity Umicore 0.26% 174 UTDI GY Equity United Internet AG Reg 0.65% 175 UU/ LN Equity United Utilities Group Plc 0.47% 176 VIE FP Equity Veolia Environnement 0.28% 177 VPK NA Equity Vopak NV 1.01% 178 WEIR LN Equity Weir Group 1.14% 179 WKL NA Equity Wolters Kluwer NV 0.36% 180 WRT1V FH Equity Wartsila Oyj B 0.09% 181 WTB LN Equity Whitbread 0.47% 182 ZC FP Equity Zodiac Aerospace 0.59%