Date: 16-Feb-16

Index Weights as of monthly rebalance date 12-Feb-16

Citi Pure Quality Europe Long-Short Net TR Series II Index (CIISQUE2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 ABBN VX ABB Ltd 0.16% 1 ABF LN Associated British Foods -0.03% 2 ABE SQ Abertis Infraestructuras SA 1.13% 2 ABI BB Anheuser Busch Inbev NV -1.20% 3 AC FP Accor 0.23% 3 AGN NA Aegon NV -0.94% 4 ACS SQ Actividades Construc Y Serv 0.60% 4 AHT LN Ashtead Group -0.92% 5 ADM LN Admiral Group 0.92% 5 ALO FP Alstom -1.74% 6 ADS GY Adidas AG 1.52% 6 ALV GY Allianz SE -0.02% 7 AENA SQ AENA SA 0.60% 7 ARM LN ARM Holdings -0.26% 8 AH NA Ahold NV 0.53% 8 ASSAB SS Assa Abloy B -1.14% 9 AI FP Air Liquide 0.60% 9 ATC NA Altice NV -2.52% 10 AKE FP Arkema 0.65% 10 ATCOB SS Atlas Copco AB B -0.12% 11 ALFA SS Alfa Laval AB 0.63% 11 ATL IM Atlantia SpA -0.08% 12 AMEC LN AMEC 0.02% 12 AV/ LN Aviva -0.23% 13 AMS SQ Amadeus IT Hldg SA 0.60% 13 BAER VX Julius Baer Group -1.27% 14 ANN GY Deutsche Annington Immobilien 0.24% 14 BALN VX Baloise Hldg Reg -0.49% 15 ASML NA ASML Holding NV 1.08% 15 BAS GY BASF SE -0.23% 16 ATCOA SS Atlas Copco AB A 0.44% 16 BBVA SQ Banco Bilbao Vizcaya Argentaria SA -1.19% 17 ATLN VX Actelion Ltd 0.12% 17 BDEV LN Barratt Developments -0.27% 18 ATO FP AtoS 0.04% 18 BLT LN BHP Billiton Plc -1.32% 19 AUTO LN Auto Trader Group PLC 0.04% 19 BMW GY Bayer Motoren Werke AG (BMW) -0.21% 20 AZN LN AstraZeneca Plc 0.43% 20 BN FP Danone -0.13% 21 BA/ LN BAE Systems Plc 0.20% 21 BNP FP BNP Paribas -0.37% 22 BARC LN Barclays 0.06% 22 BOL SS Boliden AB -0.40% 23 BATS LN British American Tobacco Plc 1.24% 23 BP/ LN BP -0.30% 24 BAYN GY Bayer AG 0.14% 24 BSY LN British Sky Broadcasting -1.70% 25 BEI GY Beiersdorf AG 0.52% 25 CABK SQ CaixaBank -0.85% 26 BELG BB Belgacom SA 0.16% 26 CARLB DC Carlsberg AS B -0.91% 27 BLND LN British Land Co 0.47% 27 CBK GY Commerzbank AG -0.32% 28 BOKA NA Boskalis Westminster Group 0.46% 28 CCL LN Carnival Plc -0.86% 29 BOSS GY HUGO BOSS AG -ORD 1.07% 29 CNA LN Centrica -0.78% 30 BP IM Banco Popolare - Societa Cooperativa 1.25% 30 CNHI IM CNH Industrial -0.78% 31 BRBY LN Burberry Group 0.87% 31 CPI LN Capita Group -0.43% 32 BT/A LN BT Group 1.83% 32 CPW LN Carphone Warehouse Group -1.63% 33 BVI FP Bureau Veritas SA 0.22% 33 CS FP AXA -0.13% 34 CA FP Carrefour SA 0.70% 34 CSGN VX Credit Suisse Group AG -1.25% 35 CAP FP Cap Gemini SA 0.17% 35 DAI GY Daimler AG -0.33% 36 CFR VX CIE FINANCIERE RICHEMON-BR A 0.26% 36 DBK GY Deutsche Bank AG -1.76% 37 COLOB DC Coloplast AS B 0.98% 37 DELB BB Delhaize Group -0.50% 38 CON GY Continental AG 0.93% 38 DG FP Vinci -0.30% 39 CPG LN Compass Group 0.25% 39 DIA SQ Distribuidora Internacional De Alimentacion SA -0.64% 40 DANSKE DC Danske Bank A/S 0.96% 40 DLG LN Direct Line Insurance Group PL -0.17% 41 DB1 GY Deutsche Boerse AG 1.19% 41 DSV DC Dsv A/S -0.42% 42 DGE LN Diageo Plc 0.05% 42 DWNI GY Deutsche Wohnen AG BR -0.18% 43 DNB NO DNB ASA 1.14% 43 EAD FP EADS NV-Euro Aero Defense -0.31% 44 DPW GY Deutsche Post AG 0.25% 44 EDP PL Electricidade de Portugal SA -0.97% 45 DSM NA Koninklijke DSM NV 0.56% 45 EI FP Essilor Intl -0.74% 46 DSY FP Dassault Systemes SA 0.29% 46 ELE SQ Endesa SA -0.10% 47 DTE GY Deutsche Telekom 0.20% 47 EN FP Bouygues -0.18% 48 EBS AV Erste Group Bank AG 0.00% 48 ENI IM ENI SpA -0.17% 49 ELUXB SS Electrolux AB B 0.30% 49 EOAN GY E.ON AG -0.97% 50 ETL FP Eutelsat Communications Promesses 0.35% 50 ERICB SS ERICSSON LM-B SHS -0.18% 51 EVK GY Evonik Industries 0.88% 51 EXO IM Exor Ordinary SpA-Ordinary -0.30% 52 EXPN LN Experian Plc 0.88% 52 FME GY Fresenius Medical -0.78% 53 EZJ LN Easyjet 0.60% 53 FRE GY Fresenius SE & Co KGaA -0.12% 54 FER SQ Ferrovial SA 0.78% 54 FRES LN Fresnillo PLC -1.28% 55 FSA IM UNIPOLSAI SPA 0.33% 55 G IM Assicurazioni Generali SpA -0.04% 56 FUM1V FH Fortum Oyj 2.17% 56 G1A GY GEA Group AG -1.46% 57 GALP PL Galp Energia SGPS SA 0.93% 57 GALN VX Galenica AG -1.29% 58 GAS SQ Gas Natural SDG SA 0.49% 58 GET FP Groupe Eurotunnel SA -0.59% 59 GEBN VX Geberit AG Reg 0.59% 59 GKN LN GKN -0.29% 60 GIVN VX Givaudan AG 0.25% 60 GLEN LN Glencore International PLC -0.36% 61 GLE FP Societe Generale 1.46% 61 GRF SQ Grifols SA -0.99% 62 GSK LN GlaxoSmithKline 1.51% 62 HEIA NA Heineken NV -0.24% 63 GSZ FP GDF Suez 0.05% 63 HEN3 GY Henkel AG & Co. KGaA Nvtg Prf -0.20% 64 HMSO LN Hammerson 0.91% 64 HMB SS Hennes & Mauritz AB B -0.49% 65 HNR1 GY Hannover Ruckversicherungs AG Reg 0.44% 65 IFX GY Infineon Technologies AG -0.89% 66 HO FP Thales 0.61% 66 ILD FP ILIAD SA -0.07% 67 HSBA LN HSBC Holdings Plc 0.01% 67 ING FP Ingenico -0.47% 68 IAG LN International Consolidated Airlines Group SA 0.46% 68 INVEB SS Investor AB B -1.41% 69 IHG LN InterContinental Hotels Group Plc 2.20% 69 ITRK LN Intertek Group PLC -0.09% 70 IMT LN Imperial Tobacco 0.07% 70 KER FP PPR SA -0.76% 71 INGA NA ING Groep NV 0.74% 71 KGF LN Kingfisher -0.07% 72 ISAT LN Inmarsat 0.66% 72 KN FP Natixis -0.24% 73 ISP IM Intesa SanPaolo 0.09% 73 KPN NA Koninklijke KPN NV -1.05% 74 ITV LN ITV Plc 0.46% 74 KYG ID Kerry Group A -0.91% 75 ITX SQ Inditex SA 0.12% 75 LONN VX Lonza AG -0.20% 76 JMAT LN JOHNSON MATTHEY PLC 0.78% 76 LSE LN London Stock Exchange Plc -0.57% 77 JMT PL Jeronimo Martins & Filito SGPS 0.04% 77 LUX IM Luxottica Group SpA -0.11% 78 KBC BB KBC Group NV 1.59% 78 MAERSKB DC AP Moller - Maersk AS B -0.86% 79 KNIN VX KUEHNE & NAGEL INTL AG-REG 0.95% 79 NES1V FH Neste Oil OYJ -0.16% 80 LAND LN Land Securities Group PLC 0.35% 80 NESN VX Nestle SA Reg -0.21% 81 LGEN LN Legal & General Group 0.26% 81 NHY NO Norsk Hydro AS -1.07% 82 LHA GY Deutsche Lufthansa Reg 1.31% 82 NN NA NN Group NV -0.36% 83 LI FP Klepierre 1.60% 83 NRE1V FH Nokian Renkaat Oyj -0.53% 84 LIN GY Linde AG 0.36% 84 NZYMB DC Novozymes AS B -0.15% 85 LLOY LN Lloyds Banking Group Plc 0.40% 85 OML LN Old Mutual -0.36% 86 LR FP Legrand Promesses 0.31% 86 OSR GY Osram Light AG 0.00% 87 LXS GY Lanxess AG 0.56% 87 PAH3 GY Porsche Automobil Holding SE -1.35% 88 MB IM Mediobanca SpA 0.43% 88 PNDORA DC Pandora A/S -1.25% 89 MC FP LVMH-Moet Vuitton 0.36% 89 POP SQ Banco Popular Espanol SA -1.49% 90 MEO GY METRO AG 1.60% 90 PUB FP Publicis Groupe -0.72% 91 MKS LN Marks & Spencer Group 0.53% 91 RAND NA Randstad Hldgs NV -0.07% 92 ML FP Michelin CGDE B Brown 0.12% 92 RB/ LN Reckitt Benckiser Group PLC -0.64% 93 MNDI LN Mondi Plc 0.42% 93 RBS LN ROYAL BANK OF SCOTLAND GROUP -1.28% 94 MRK GY MERCK KGaA 0.18% 94 RDSA LN Royal Dutch Shell PLC -0.32% 95 MUV2 GY Munich Re AG 0.06% 95 RDSB LN Royal Dutch Shell PLC B -0.93% 96 NDA SS Nordea AB 0.90% 96 REP SQ Repsol-YPF SA -1.55% 97 NG/ LN National Grid PLC 0.25% 97 REX LN Rexam -0.14% 98 NOVN VX Novartis AG Reg 0.39% 98 RIO LN Rio Tinto Plc -0.27% 99 NOVOB DC Novo Nordisk AS B 1.50% 99 RNO FP Renault SA -0.70% 100 NXT LN Next 1.44% 100 RRS LN Randgold Resources Ltd -1.07% 101 OR FP L'Oreal 0.37% 101 RSA LN RSA Insurance Group Plc -1.37% 102 ORA FP Orange S.A. 0.75% 102 RXL FP Rexel SA -0.48% 103 PFC LN Petrofac 0.16% 103 SAB LN SABMILLER PLC -0.04% 104 PHIA NA Koninklijke Philips Electronics NV (Royal Philips Electronics) 0.01% 104 SAP GY SAP AG -0.33% 105 PRU LN Prudential Plc 0.56% 105 SCAB SS SCA-Svenska Cellulosa B -1.04% 106 PRY IM Prysmian SpA 0.15% 106 SCR FP SCOR SE -0.05% 107 PSM GY ProSiebenSat.1 Media AG 0.73% 107 SECUB SS Securitas AB B -0.50% 108 PSN LN Persimmon 0.14% 108 SEV FP Suez Environment SA -0.18% 109 PSON LN Pearson 1.55% 109 SGO FP COMPAGNIE DE SAINT-GOBAIN -0.40% 110 RACE IM FERRARI NV 2.75% 110 SIE GY Siemens AG -0.28% 111 REE SQ Red Electrica Corporacion SA 0.64% 111 SKFB SS SKF AB B -0.44% 112 REL LN Reed Elsevier 1.21% 112 SLHN VX Swiss Life Reg -0.40% 113 REN NA Reed Elsevier NV 0.41% 113 SMIN LN Smiths Group -0.44% 114 RI FP Pernod-Ricard 0.35% 114 SN/ LN Smith & Nephew -0.80% 115 ROG VX Roche Hldgs AG Ptg Genus 0.80% 115 SOON VX Sonova Holding AG -0.04% 116 RR/ LN Rolls-Royce Holdings Plc 0.48% 116 SREN VX Swiss Re Reg -1.03% 117 RWE GY RWE AG 1.53% 117 SRG IM Snam Rete Gas SpA -0.43% 118 RYA ID Ryanair Holdings Plc 0.91% 118 STAN LN Standard Chartered -2.16% 119 SAB SQ Banco de Sabadell SA 0.72% 119 STM IM STMICROELECTRONICS NV -0.27% 120 SAF FP Safran SA 1.01% 120 SU FP Schneider Electric SA -0.55% 121 SAMAS FH Sampo Oyj A 0.39% 121 SW FP Sodexo -0.15% 122 SAN FP Sanofi-Aventis 0.09% 122 SY1 GY Symrise AG -0.35% 123 SAN SQ Banco Santander SA 0.20% 123 TEN IM Tenaris SA -1.05% 124 SCHP VX Schindler-Hldg AG Ptg 1.19% 124 TIT IM Telecom Italia SpA -1.37% 125 SCMN VX Swisscom AG Reg 1.23% 125 TITR IM Telecom Italia SpA Rnc -1.43% 126 SEBA SS SEB-Skand Enskilda Banken A 0.18% 126 TNTE NA TNT Express NV -0.05% 127 SESG FP SES 0.49% 127 TPK LN Travis Perkins -0.01% 128 SGE LN Sage Group 0.38% 128 TRN IM Terna SpA -1.03% 129 SGSN VX SGS-Soc Gen Surveil Hldg Reg 0.87% 129 TSCO LN Tesco -1.64% 130 SHBA SS Svenska Handelsbanken A 0.78% 130 TW/ LN Taylor Wimpey -0.22% 131 SIK VX Sika Finanz AG Br 0.17% 131 UBSN VX UBS GROUP CHF0.10 (REGD) -1.07% 132 SKAB SS SKANSKA AB-B 0.35% 132 UCB BB UCB SA -1.20% 133 SL/ LN Standard Life 2.48% 133 UCG IM UNICREDIT SPA -0.29% 134 SOLB BB Solvay 1.23% 134 UG FP Peugeot SA -0.17% 135 SPM IM Saipem SpA Ord 1.52% 135 UL NA Unibail - Rodamco -1.32% 136 SSE LN Scottish & Southern Energy 0.07% 136 UMI BB Umicore -0.07% 137 STERV FH Stora Enso OYJ R 0.42% 137 UPM1V FH UPM-Kymmene Oyj -1.21% 138 STJ LN St James's Place 0.37% 138 UTDI GY United Internet AG Reg -0.21% 139 SWEDA SS Swedbank AB 0.58% 139 VIE FP Veolia Environnement -0.75% 140 SWMA SS Swedish Match AB 1.51% 140 VIV FP Vivendi SA -0.74% 141 SYNN VX Syngenta AG 0.26% 141 VOD LN Vodafone Group -2.00% 142 TEC FP Technip SA 1.14% 142 VOW GY Volkswagen AG -1.33% 143 TEF SQ Telefonica SA 0.93% 143 VOW3 GY Volkswagen AG Nvtg Prf -0.88% 144 TEL NO Telenor ASA 0.17% 144 WEIR LN Weir Group -1.29% 145 TKA GY ThyssenKrupp AG 1.01% 145 WMH LN William Hill -0.04% 146 UBI IM UBI Banca 0.83% 146 WOS LN Wolseley -0.30% 147 ULVR LN Unilever 0.15% 147 WRT1V FH Wartsila Oyj B -1.08% 148 UNA NA Unilever NV 1.21% 148 YAR NO Yara International ASA -0.23% 149 VOLVB SS Volvo AB B 0.04% 149 ZAL GY Zalando SE -2.56% 150 VPK NA Vopak NV 0.70% 150 ZC FP Zodiac Aerospace -1.03% 151 VWS DC Vestas Wind Systems AS 0.15% 152 WKL NA Wolters Kluwer NV 0.82% 153 WPP LN WPP Plc 0.53% 154 WTB LN Whitbread 0.25%