Date: 20-May-16 Index Weights as of monthly rebalance date 12-May-16 Citi Pure Size Europe Long-Short Net TR Series II Index (CIISSZE2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 ABBN VX ABB Ltd 1.12% 1 AAL LN Anglo American Plc -0.44% 2 ADS GY Adidas AG 0.10% 2 ABF LN Associated British Foods -0.09% 3 AENA SQ AENA SA 0.16% 3 ADEN VX Adecco SA Reg -0.19% 4 AI FP Air Liquide 0.94% 4 ADN LN Aberdeen Asset Mgmt -1.63% 5 ALV GY Allianz SE 1.19% 5 AGN NA Aegon NV -0.79% 6 ARM LN ARM Holdings 0.34% 6 AH NA Ahold NV -0.88% 7 ASML NA ASML Holding NV 1.37% 7 AHT LN Ashtead Group -0.84% 8 ASSAB SS Assa Abloy B 0.71% 8 AMS SQ Amadeus IT Hldg SA -0.05% 9 ATC NA Altice NV 0.34% 9 VNA GY Deutsche Annington Immobilien -0.38% 10 ATCOA SS Atlas Copco AB A 1.10% 10 ATCOB SS Atlas Copco AB B -0.36% 11 ATL IM Atlantia SpA 0.97% 11 ATLN VX Actelion Ltd -0.63% 12 AZN LN AstraZeneca Plc 0.37% 12 ATO FP AtoS -0.85% 13 BA/ LN BAE Systems Plc 0.20% 13 AV/ LN Aviva -0.35% 14 BARC LN Barclays 0.41% 14 BAER VX Julius Baer Group -0.61% 15 BAS GY BASF SE 1.21% 15 BALN VX Baloise Hldg Reg -2.20% 16 BATS LN British American Tobacco Plc 1.53% 16 BDEV LN Barratt Developments -0.62% 17 BAYN GY Bayer AG 0.97% 17 BEI GY Beiersdorf AG -1.17% 18 BBVA SQ Banco Bilbao Vizcaya Argentaria SA 0.48% 18 BKG LN Berkeley Group Holdings Plc -0.68% 19 BLT LN BHP Billiton Plc 1.39% 19 BKIR ID BANK OF IRELAND -0.60% 20 BMW GY Bayer Motoren Werke AG (BMW) 1.32% 20 BLND LN British Land Co -0.99% 21 BNP FP BNP Paribas 1.10% 21 BN FP Danone -0.19% 22 BP/ LN BP 1.19% 22 BOL SS Boliden AB -0.99% 23 SKY LN British Sky Broadcasting 0.43% 23 BOSS GY HUGO BOSS AG -ORD -2.26% 24 BT/A LN BT Group 0.71% 24 BRBY LN Burberry Group -1.12% 25 CCL LN Carnival Plc 1.17% 25 CA FP Carrefour SA -1.26% 26 CFR VX CIE FINANCIERE RICHEMON-BR A 0.50% 26 CABK SQ CaixaBank -0.23% 27 CON GY Continental AG 0.95% 27 CAP FP Cap Gemini SA -0.24% 28 CPG LN Compass Group 0.47% 28 CARLB DC Carlsberg AS B -1.35% 29 CS FP AXA 0.85% 29 CBK GY Commerzbank AG -0.61% 30 CSGN VX Credit Suisse Group AG 0.08% 30 CNA LN Centrica -0.17% 31 DAI GY Daimler AG 1.69% 31 CNHI IM CNH Industrial -0.01% 32 DANSKE DC Danske Bank A/S 0.58% 32 COLOB DC Coloplast AS B -1.07% 33 DG FP Vinci 0.66% 33 CPI LN Capita Group -0.47% 34 DGE LN Diageo Plc 0.89% 34 DB1 GY Deutsche Boerse AG -0.50% 35 DPW GY Deutsche Post AG 0.56% 35 DBK GY Deutsche Bank AG -0.56% 36 DSY FP Dassault Systemes SA 0.01% 36 DELB BB Delhaize Group -0.91% 37 DTE GY Deutsche Telekom 1.06% 37 DLG LN Direct Line Insurance Group PL -1.52% 38 DUFN VX DUFRY AG-REG 0.04% 38 DSM NA Koninklijke DSM NV -0.32% 39 AIR FP EADS NV-Euro Aero Defense 1.16% 39 DWNI GY Deutsche Wohnen AG BR -0.52% 40 EDP PL Electricidade de Portugal SA 0.23% 40 EI FP Essilor Intl -0.47% 41 ENI IM ENI SpA 1.00% 41 ELE SQ Endesa SA -0.26% 42 ERICB SS ERICSSON LM-B SHS 0.50% 42 ELUXB SS Electrolux AB B -0.59% 43 EXPN LN Experian Plc 0.21% 43 EOAN GY E.ON AG -0.07% 44 FP FP TOTAL SA 1.25% 44 EVK GY Evonik Industries -0.42% 45 FRES LN Fresnillo PLC 0.26% 45 EZJ LN Easyjet -0.56% 46 FUM1V FH Fortum Oyj 0.18% 46 FER SQ Ferrovial SA -0.36% 47 G IM Assicurazioni Generali SpA 0.17% 47 FME GY Fresenius Medical -0.52% 48 GAS SQ Gas Natural SDG SA 0.04% 48 FR FP Valeo -0.49% 49 GEBN VX Geberit AG Reg 0.43% 49 FRE GY Fresenius SE & Co KGaA -0.03% 50 GLE FP Societe Generale 0.47% 50 G1A GY GEA Group AG -1.00% 51 GSK LN GlaxoSmithKline 1.03% 51 GALN VX Galenica AG -1.72% 52 ENGI FP GDF Suez 0.48% 52 GALP PL Galp Energia SGPS SA -0.23% 53 HEIA NA Heineken NV 0.64% 53 GEN DC Genmab AS -1.14% 54 HEN3 GY Henkel AG & Co. KGaA Nvtg Prf 0.22% 54 GET FP Groupe Eurotunnel SA -0.64% 55 HEXAB SS Hexagon AB 0.18% 55 GIVN VX Givaudan AG -0.03% 56 HMB SS Hennes & Mauritz AB B 1.56% 56 GKN LN GKN -1.22% 57 HO FP Thales 0.09% 57 GLEN LN Glencore International PLC -0.89% 58 HSBA LN HSBC Holdings Plc 1.69% 58 IFX GY Infineon Technologies AG -0.22% 59 IAG LN International Consolidated Airlines Group SA 0.80% 59 IHG LN InterContinental Hotels Group Plc -0.71% 60 IBE SQ Iberdrola SA 1.02% 60 ILD FP ILIAD SA -0.86% 61 IMB LN Imperial Tobacco 0.30% 61 ING FP Ingenico -0.84% 62 INVEB SS Investor AB B 1.07% 62 ISAT LN Inmarsat -1.64% 63 ISP IM Intesa SanPaolo 1.81% 63 ITRK LN Intertek Group PLC -1.00% 64 ITX SQ Inditex SA 1.68% 64 ITV LN ITV Plc -0.09% 65 KBC BB KBC Group NV 1.03% 65 JMAT LN JOHNSON MATTHEY PLC -0.85% 66 LIN GY Linde AG 0.49% 66 KER FP PPR SA -0.22% 67 LLOY LN Lloyds Banking Group Plc 1.64% 67 KGF LN Kingfisher -0.59% 68 LUX IM Luxottica Group SpA 0.78% 68 KINVB SS Kinnevik Investment AB B -0.90% 69 MAERSKB DC AP Moller - Maersk AS B 0.24% 69 KN FP Natixis -0.63% 70 MC FP LVMH-Moet Vuitton 1.45% 70 KNIN VX KUEHNE & NAGEL INTL AG-REG -0.30% 71 MRK GY MERCK KGaA 0.11% 71 KPN NA Koninklijke KPN NV -0.68% 72 NDA SS Nordea AB 0.79% 72 LAND LN Land Securities Group PLC -0.40% 73 NESN VX Nestle SA Reg 1.88% 73 LGEN LN Legal & General Group 0.00% 74 NG/ LN National Grid PLC 1.33% 74 LHA GY Deutsche Lufthansa Reg -1.18% 75 NOVN VX Novartis AG Reg 1.71% 75 LI FP Klepierre -0.28% 76 NOVOB DC Novo Nordisk AS B 2.03% 76 LONN VX Lonza AG -1.53% 77 OR FP L'Oreal 1.12% 77 LR FP Legrand Promesses -0.25% 78 ORA FP Orange S.A. 0.05% 78 LSE LN London Stock Exchange Plc -0.32% 79 PHIA NA Koninklijke Philips Electronics NV (Royal Philips Electronics) 0.62% 79 LUPE SS Lundin Petroleum A -0.89% 80 PNDORA DC Pandora A/S 0.53% 80 MB IM Mediobanca SpA -0.48% 81 PRU LN Prudential Plc 1.22% 81 MEO GY METRO AG -2.01% 82 RACE IM FERRARI NV 0.19% 82 MKS LN Marks & Spencer Group -1.07% 83 RB/ LN Reckitt Benckiser Group PLC 0.91% 83 ML FP Michelin CGDE B Brown -0.38% 84 RBS LN ROYAL BANK OF SCOTLAND GROUP 0.93% 84 MNDI LN Mondi Plc -0.32% 85 RDSA LN Royal Dutch Shell PLC 1.66% 85 NESTE FH Neste Oil OYJ -0.35% 86 RDSB LN Royal Dutch Shell PLC B 0.82% 86 NN NA NN Group NV -0.56% 87 REL LN Reed Elsevier 0.83% 87 NRE1V FH Nokian Renkaat Oyj -0.96% 88 REN NA Reed Elsevier NV 0.87% 88 NXT LN Next -0.99% 89 RIO LN Rio Tinto Plc 1.24% 89 NZYMB DC Novozymes AS B -0.10% 90 RMS FP Hermes Intl 0.88% 90 OML LN Old Mutual -0.63% 91 RNO FP Renault SA 0.56% 91 PAH3 GY Porsche Automobil Holding SE -0.56% 92 ROG VX Roche Hldgs AG Ptg Genus 2.22% 92 PGHN SE Partners Group Hldg -0.37% 93 RYA ID Ryanair Holdings Plc 0.60% 93 POP SQ Banco Popular Espanol SA -1.27% 94 SAB LN SABMILLER PLC 1.29% 94 PRY IM Prysmian SpA -0.86% 95 SAF FP Safran SA 0.70% 95 PSM GY ProSiebenSat.1 Media AG -0.77% 96 SAMAS FH Sampo Oyj A 1.05% 96 PSN LN Persimmon -0.60% 97 SAN FP Sanofi-Aventis 0.80% 97 PSON LN Pearson -1.35% 98 SAN SQ Banco Santander SA 0.90% 98 PUB FP Publicis Groupe -0.26% 99 SAP GY SAP AG 1.35% 99 RAND NA Randstad Hldgs NV -0.28% 100 SCHP VX Schindler-Hldg AG Ptg 0.34% 100 REE SQ Red Electrica Corporacion SA -0.63% 101 SEBA SS SEB-Skand Enskilda Banken A 0.20% 101 REP SQ Repsol-YPF SA -1.15% 102 SGO FP COMPAGNIE DE SAINT-GOBAIN 0.05% 102 RI FP Pernod-Ricard -0.27% 103 SHBA SS Svenska Handelsbanken A 0.45% 103 RR/ LN Rolls-Royce Holdings Plc -0.12% 104 SIE GY Siemens AG 1.51% 104 RRS LN Randgold Resources Ltd -0.38% 105 SOLB BB Solvay 0.31% 105 RWE GY RWE AG -1.49% 106 SRG IM Snam Rete Gas SpA 0.65% 106 RXL FP Rexel SA -1.96% 107 SSE LN Scottish & Southern Energy 0.42% 107 SAB SQ Banco de Sabadell SA -1.00% 108 STAN LN Standard Chartered 0.21% 108 SCAB SS SCA-Svenska Cellulosa B -0.28% 109 STL NO Statoil ASA 0.45% 109 SCMN VX Swisscom AG Reg -0.37% 110 SU FP Schneider Electric SA 0.82% 110 SECUB SS Securitas AB B -1.04% 111 SWEDA SS Swedbank AB 0.45% 111 SESG FP SES -0.75% 112 TEF SQ Telefonica SA 0.65% 112 SEV FP Suez Environment SA -0.58% 113 TEL NO Telenor ASA 0.06% 113 SGE LN Sage Group -0.64% 114 TEN IM Tenaris SA 0.02% 114 SGSN VX SGS-Soc Gen Surveil Hldg Reg -0.08% 115 TRN IM Terna SpA 0.12% 115 SIK VX Sika Finanz AG Br -0.05% 116 UBSG VX UBS GROUP CHF0.10 (REGD) 1.53% 116 SKAB SS SKANSKA AB-B -0.20% 117 UCG IM UNICREDIT SPA 0.55% 117 SKFB SS SKF AB B -0.65% 118 UL NA Unibail - Rodamco 0.17% 118 SL/ LN Standard Life -0.89% 119 ULVR LN Unilever 1.64% 119 SLHN VX Swiss Life Reg -1.01% 120 UNA NA Unilever NV 1.31% 120 SN/ LN Smith & Nephew -0.85% 121 UPM1V FH UPM-Kymmene Oyj 0.13% 121 SOON VX Sonova Holding AG -1.28% 122 VIV FP Vivendi SA 0.16% 122 SPM IM Saipem SpA Ord -2.51% 123 VOD LN Vodafone Group 1.17% 123 STM IM STMICROELECTRONICS NV -0.91% 124 VOLVB SS Volvo AB B 0.85% 124 SVT LN Severn Trent -0.46% 125 VOW GY Volkswagen AG 0.63% 125 SW FP Sodexo -0.56% 126 VOW3 GY Volkswagen AG Nvtg Prf 1.16% 126 SWMA SS Swedish Match AB -1.95% 127 VWS DC Vestas Wind Systems AS 0.28% 127 TIT IM Telecom Italia SpA -0.17% 128 WOS LN Wolseley 0.15% 128 TKA GY ThyssenKrupp AG -0.25% 129 WPP LN WPP Plc 0.59% 129 TPK LN Travis Perkins -0.80% 130 ZURN VX Zurich Financial Services AG 0.52% 130 TSCO LN Tesco -1.38% 131 TW/ LN Taylor Wimpey -0.77% 132 UBI IM UBI Banca -1.29% 133 UCB BB UCB SA -0.02% 134 UG FP Peugeot SA -0.26% 135 UMI BB Umicore -0.42% 136 UU/ LN United Utilities Group Plc -0.58% 137 VIE FP Veolia Environnement -0.22% 138 VPK NA Vopak NV -1.24% 139 WKL NA Wolters Kluwer NV -0.57% 140 WRT1V FH Wartsila Oyj B -0.05% 141 WTB LN Whitbread -0.42% 142 YAR NO Yara International ASA -0.51% 143 ZC FP Zodiac Aerospace -1.15%.