Date: 20-Jan-15

Index Rebalance Weights as of 08-Jan-15

Citi Value Pure Europe TR Index (CIISVAET) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 AAL LN 0.39583% 1 ABBN VX ABB Ltd -0.65972% 2 ADEN VX Adecco SA Reg 0.07261% 2 ABF LN -0.99351% 3 ADN LN Aberdeen Asset Mgmt 0.31549% 3 ABI BB Anheuser Busch Inbev NV -0.76899% 4 AH NA Ahold NV 3.10585% 4 AC FP Accor -0.94748% 5 AKE FP Arkema 0.73595% 5 ACA FP Credit Agricole SA -0.38236% 6 AMEC LN AMEC 0.02817% 6 ADS GY Adidas AG -0.55025% 7 AMS SM Amadeus IT Hldg SA 0.30092% 7 AGN NA Aegon NV -0.22834% 8 ANN GY Deutsche Annington Immobilien 0.11308% 8 AHT LN -0.90018% 9 ANTO LN Antofagasta Hldgs 1.51775% 9 AI FP Air Liquide -0.09961% 10 ATLN VX Actelion Ltd 0.06411% 10 AKZA NA Akzo Nobel NV -0.37717% 11 AV/ LN 0.15212% 11 ALFA SS Alfa Laval AB -0.68125% 12 AZN LN AstraZeneca Plc 0.57085% 12 ALV GY Allianz SE -0.02437% 13 BA/ LN BAE Systems Plc 0.39246% 13 ARM LN ARM Holdings -1.01136% 14 BBVA SM Banco Bilbao Vizcaya Argentaria SA 0.03034% 14 ARYN VX Aryzta AG -0.36089% 15 BELG BB Belgacom SA 0.99608% 15 ASML NA ASML Holding NV -1.25533% 16 BLND LN Co 0.13921% 16 ASSAB SS Assa Abloy B -0.60244% 17 BLT LN BHP Billiton Plc 0.78246% 17 ATCOA SS Atlas Copco AB A -0.53874% 18 BMW GY Bayer Motoren Werke AG (BMW) 0.25075% 18 ATL IM Atlantia SpA -0.81424% 19 BOKA NA Boskalis Westminster Group 0.07788% 19 BAB LN Babcock Intl Group -0.53094% 20 BOL SS Boliden AB 0.14416% 20 BARC LN -0.40902% 21 BP/ LN BP 2.57812% 21 BAS GY BASF SE -0.03517% 22 BSY LN British Sky Broadcasting 0.83914% 22 BAYN GY Bayer AG -0.37869% 23 BT/A LN BT Group 0.24405% 23 BEI GY Beiersdorf AG -1.98361% 24 CA FP Carrefour SA 2.08747% 24 BG/ LN BG GROUP PLC -2.07612% 25 CABK SM CaixaBank 0.03949% 25 BKIA SM Bankia SA -0.19894% 26 CAP FP Cap Gemini SA 1.06258% 26 BKIR ID BANK OF IRELAND -0.46927% 27 CNA LN Centrica 1.03566% 27 BKT SM Bankinter SA -0.26710% 28 CNHI IM CNH Industrial 1.03192% 28 BN FP Danone -0.93454% 29 CO FP Casino Guichard-Perrachon 1.88633% 29 BNP FP BNP Paribas -0.62102% 30 CPG LN 0.44469% 30 BOSS GY HUGO BOSS AG -ORD -0.90074% 31 CPW LN Carphone Warehouse Group 0.00646% 31 BP IM Banco Popolare - Societa Cooperativa -1.39222% 32 DAI GY Daimler AG 0.56470% 32 BRBY LN Group -0.39966% 33 DANSKE DC Danske Bank A/S 0.76323% 33 CARLB DC Carlsberg AS B -0.95303% 34 DELB BB Delhaize Group 2.44079% 34 CBK GY Commerzbank AG -1.15435% 35 DL NA DELTA LLOYD NV 0.59573% 35 CCL LN Carnival Plc -0.92750% 36 DPW GY Deutsche Post AG 0.68283% 36 CFR VX CIE FINANCIERE RICHEMON-BR A -0.55369% 37 EAD FP EADS NV-Euro Aero Defense 0.89308% 37 CON GY Continental AG -0.17477% 38 EDF FP Electricite de France 0.11867% 38 CPI LN Capita Group -0.67354% 39 EDP PL Electricidade de Portugal SA 0.41819% 39 CS FP AXA -0.08211% 40 ELUXB SS Electrolux AB B 0.54029% 40 CSGN VX Credit Suisse Group AG -0.06388% 41 ENEL IM Enel SpA 0.90303% 41 DB1 GY Deutsche Boerse AG -0.80301% 42 ENG SM Enagas SpA 0.05788% 42 DBK GY Deutsche Bank AG -0.69103% 43 ENI IM ENI SpA 2.43127% 43 DGE LN Plc -1.28701% 44 EOAN GY E.ON AG 2.15795% 44 DNB NO DNB ASA -0.04505% 45 ERICB SS ERICSSON LM-B SHS 1.48696% 45 DSM NA Koninklijke DSM NV -0.48976% 46 EXO IM Exor Ordinary SpA-Ordinary 0.56233% 46 DTE GY Deutsche Telekom -0.86266% 47 EZJ LN Easyjet 0.74098% 47 EGPW IM Enel Green Power SpA -1.21689% 48 FME GY Fresenius Medical 0.01465% 48 EI FP Essilor Intl -0.06217% 49 FP FP TOTAL SA 0.91752% 49 EXPN LN Plc -1.02492% 50 FR FP Valeo 1.11841% 50 FER SM Ferrovial SA -0.70583% 51 FRE GY Fresenius SE & Co KGaA 0.09121% 51 FUM1V FH Fortum Oyj -1.34001% 52 G IM Assicurazioni Generali SpA 0.97735% 52 GALP PL Galp Energia SGPS SA -0.41732% 53 GAS SM Gas Natural SDG SA 0.24266% 53 GEBN VX Geberit AG Reg -0.36966% 54 GIVN VX Givaudan AG 0.16537% 54 GLE FP Societe Generale -0.80554% 55 GKN LN GKN 0.76537% 55 GRF SM Grifols SA -0.62097% 56 GLEN LN International PLC 0.93677% 56 HEI GY HeidelbergCement AG -0.47316% 57 GSZ FP GDF Suez 0.87834% 57 HEIA NA Heineken NV -0.64393% 58 HSBA LN HSBC Holdings Plc 0.41904% 58 HEN3 GY Henkel AG & Co. KGaA Nvtg Prf -1.24646% 59 IAG LN International Consolidated Airlines Group SA 0.76814% 59 HMB SS Hennes & Mauritz AB B -0.44699% 60 ICA SS Hakon Invest AB 2.35108% 60 IBE SM Iberdrola SA -0.26103% 61 INVEB SS Investor AB B 0.38550% 61 IHG LN InterContinental Hotels Group Plc -0.27743% 62 JMAT LN PLC 0.29866% 62 ILD FP ILIAD SA -0.96932% 63 KGF LN Kingfisher 1.04698% 63 IMI LN IMI -0.70250% 64 LAND LN Land Securities Group PLC 0.08453% 64 INGA NA ING Groep NV -0.49197% 65 LGEN LN Legal & General Group 0.35819% 65 ISP IM Intesa SanPaolo -0.34937% 66 LHA GY Deutsche Lufthansa Reg 5.00000% 66 ITRK LN Group PLC -0.67232% 67 LLOY LN Plc 0.22596% 67 ITV LN ITV Plc -0.52676% 68 LSE LN Stock Exchange Plc 0.27819% 68 ITX SM Inditex SA -0.38091% 69 MAERSKB DC AP Moller - Maersk AS B 0.56130% 69 KBC BB KBC Group NV -1.29089% 70 MEO GY METRO AG 1.51155% 70 KER FP PPR SA -1.14097% 71 MKS LN Marks & Spencer Group 0.38789% 71 KINVB SS Kinnevik Investment AB B -0.39667% 72 ML FP Michelin CGDE B Brown 1.53434% 72 KN FP Natixis -0.44837% 73 MUV2 GY Munich Re AG 0.31289% 73 KPN NA Koninklijke KPN NV -1.17569% 74 NDA SS Nordea AB 0.69873% 74 LIN GY Linde AG -0.73742% 75 NES1V FH Neste Oil OYJ 1.11158% 75 LR FP Legrand Promesses -1.00668% 76 NOVOB DC Novo Nordisk AS B 0.15699% 76 LUPE SS Lundin Petroleum A -3.60254% 77 OML LN Old Mutual 0.30608% 77 LUX IM Luxottica Group SpA -0.24839% 78 ORA FP Orange S.A. 1.07994% 78 LXS GY Lanxess AG -1.31022% 79 PC IM Pirelli & Co Ord 1.07816% 79 MRK GY MERCK KGaA -0.02916% 80 PFC LN Petrofac 0.95774% 80 MT NA ArcelorMittal -0.10818% 81 PHIA NA Koninklijke Philips Electronics NV (Royal Philips Electronics) 0.01812% 81 NESN VX Nestle SA Reg -0.59308% 82 PNDORA DC Pandora A/S 0.06897% 82 NG/ LN -0.30483% 83 PRU LN 0.09392% 83 NHY NO Norsk Hydro AS -1.30933% 84 PRY IM Prysmian SpA 0.97817% 84 NOK1V FH Nokia OYJ -0.96494% 85 RDSA LN PLC 1.08946% 85 NXT LN Next -0.09399% 86 REN NA Reed Elsevier NV 1.41047% 86 NZYMB DC Novozymes AS B -0.81477% 87 REP SM Repsol-YPF SA 1.37005% 87 OR FP L'Oreal -1.09891% 88 RMG LN PLC ORD GBP0.01 3.20520% 88 PAH3 GY Porsche Automobil Holding SE -0.97729% 89 RNO FP Renault SA 0.35390% 89 POP SM Banco Popular Espanol SA -0.98636% 90 ROG VX Roche Hldgs AG Ptg Genus 0.91166% 90 PSM GY ProSiebenSat.1 Media AG -0.84100% 91 RR/ LN Rolls-Royce Holdings Plc 0.51181% 91 PSN LN Persimmon -0.25852% 92 RSL LN Resolution Ltd. 0.41462% 92 PSON LN Pearson -0.34808% 93 RWE GY RWE AG 1.40878% 93 RAND NA Randstad Hldgs NV -0.31334% 94 RYA ID Ryanair Holdings Plc 0.47025% 94 RB/ LN Benckiser Group PLC -0.96673% 95 SAF FP SA 0.19440% 95 RBS LN ROYAL BANK OF SCOTLAND GROUP -0.73738% 96 SAMAS FH Sampo Oyj A 0.42287% 96 RDSB LN Royal Dutch Shell PLC B -1.08917% 97 SAN FP Sanofi-Aventis 0.13899% 97 REE SM Red Electrica Corporacion SA -0.41487% 98 SAN SM Banco Santander SA 0.83419% 98 REL LN Reed Elsevier -1.14583% 99 SDF GY K & S AG 0.30101% 99 RI FP Pernod-Ricard -1.45930% 100 SEBA SS SEB-Skand Enskilda Banken A 0.75025% 100 RIO LN Plc -0.33963% 101 SHBA SS Svenska Handelsbanken A 0.96659% 101 RRS LN Randgold Resources Ltd -0.49661% 102 SLHN VX Swiss Life Reg 0.91946% 102 SAB LN SABMILLER PLC -1.32737% 103 SN/ LN Smith & Nephew 0.21944% 103 SAB SM Banco de Sabadell SA -0.55779% 104 SOON VX Sonova Holding AG 0.43757% 104 SAND SS Sandvik AB -0.14691% 105 SREN VX Swiss Re Reg 0.61989% 105 SAP GY SAP AG -0.44430% 106 SSE LN Scottish & Southern Energy 0.38008% 106 SCAB SS SCA-Svenska Cellulosa B -0.98371% 107 STAN LN 0.14205% 107 SCMN VX Swisscom AG Reg -0.08003% 108 STERV FH Stora Enso OYJ R 0.82910% 108 SEV FP Suez Environment SA -0.89724% 109 STL NO Statoil ASA 0.81995% 109 SGE LN -0.25545% 110 STM IM STMICROELECTRONICS NV 1.08913% 110 SGO FP COMPAGNIE DE SAINT-GOBAIN -0.20563% 111 SUBC NO Subsea 7 SA 1.08664% 111 SGSN VX SGS-Soc Gen Surveil Hldg Reg -0.41140% 112 SW FP Sodexo 0.76201% 112 SHP LN Shire Plc -0.19284% 113 SWEDA SS Swedbank AB 0.62346% 113 SIE GY Siemens AG -0.48322% 114 TDC DC TDC A/S 0.78784% 114 SKFB SS SKF AB B -0.75039% 115 TEC FP Technip SA 0.62398% 115 SL/ LN Standard Life -0.02123% 116 TEF SM Telefonica SA 1.52747% 116 SMIN LN Smiths Group -0.62472% 117 TEL2B SS Tele2 AB B 0.83103% 117 SOLB BB Solvay -0.05361% 118 TKA GY ThyssenKrupp AG 0.80581% 118 SPM IM Saipem SpA Ord -2.23788% 119 TLSN SS TeliaSonera AB 0.29544% 119 SRG IM Snam Rete Gas SpA -0.19675% 120 TSCO LN 3.49005% 120 SU FP Schneider Electric SA -0.68826% 121 UBSN VX UBS GROUP CHF0.10 (REGD) 0.14626% 121 SVT LN -0.97930% 122 UL NA Unibail - Rodamco 0.28104% 122 SWMA SS Swedish Match AB -0.44110% 123 UPM1V FH UPM-Kymmene Oyj 0.45253% 123 SY1 GY Symrise AG -0.42298% 124 VK FP Vallourec 0.16912% 124 SYNN VX Syngenta AG -0.66167% 125 VOW3 GY Volkswagen AG Nvtg Prf 1.13022% 125 TEL NO Telenor ASA -0.92748% 126 WMH LN William Hill 0.05479% 126 TEN IM Tenaris SA -1.24947% 127 WOS LN Wolseley 0.11354% 127 TLW LN Tullow Oil -2.31487% 128 WPP LN WPP Plc 0.13855% 128 TRN IM Terna SpA -0.19336% 129 YAR NO Yara International ASA 0.38004% 129 UBI IM UBI Banca -0.33046% 130 ZURN VX Zurich Financial Services AG 1.10880% 130 UCB BB UCB SA -1.31622% 131 UCG IM UNICREDIT SPA -0.80349% 132 UG FP Peugeot SA -0.09996% 133 UHR VX Swatch Group AG-B -0.68245% 134 ULVR LN -0.41231% 135 UNA NA Unilever NV -0.38349% 136 UU/ LN Group Plc -1.08434% 137 VIE FP Veolia Environnement -0.69677% 138 VIV FP Vivendi SA -1.17838% 139 VOD LN Group -0.55629% 140 VOLVB SS Volvo AB B -0.46385% 141 VWS DC Vestas Wind Systems AS -0.56566% 142 WEIR LN -0.31532% 143 WKL NA Wolters Kluwer NV -0.01047% 144 WRT1V FH Wartsila Oyj B -0.50527% 145 WTB LN -0.53694% 146 ZC FP Zodiac Aerospace -0.70009%