Date: 23-May-21

Index Weights as of monthly rebalance date 12-May-21

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 AAL LN Equity Anglo American Plc 0.96% 1 1COV GY Equity Covestro AG -0.81% 2 ABBN SE Equity ABB LTD-REG 0.69% 2 ABN NA Equity ABN AMRO Group NV -0.76% 3 ABF LN Equity Associated British Foods 0.02% 3 AC FP Equity Accor -0.71% 4 ACA FP Equity Credit Agricole SA 0.63% 4 ADEN SE Equity ADECCO GROUP AG-REG -0.85% 5 ADS GY Equity Adidas AG 1.05% 5 ADM LN Equity Admiral Group -1.43% 6 ADYEN NA Equity Adyen NV 0.59% 6 AGN NA Equity Aegon NV -0.88% 7 AENA SQ Equity AENA SA 0.36% 7 AD NA Equity Ahold NV -0.05% 8 AHT LN Equity Ashtead Group 0.17% 8 AKZA NA Equity AKZO NOBEL NV EUR0.50(POST REV SPLIT) -0.21% 9 AI FP Equity Air Liquide 1.04% 9 ALFA SS Equity Alfa Laval AB -0.10% 10 ALC SE Equity ALCON AG CHF0.04 0.02% 10 ALO FP Equity Alstom -0.87% 11 ALV GY Equity Allianz SE 1.34% 11 AMBUB DC Equity Ambu A/S -0.63% 12 AMS SQ Equity Amadeus IT Hldg SA 0.24% 12 AMP IM Equity Amplifon SpA -1.05% 13 VNA GY Equity Deutsche Annington Immobilien 0.65% 13 ANTO LN Equity Antofagasta Hldgs -0.15% 14 ASML NA Equity ASML Holding NV 2.10% 14 ASM NA Equity ASM Intl -1.14% 15 ASSAB SS Equity Assa Abloy B 0.32% 15 ATCOB SS Equity Atlas Copco AB B -0.34% 16 ATCOA SS Equity Atlas Copco AB A 1.28% 16 ATO FP Equity AtoS -1.43% 17 AZN LN Equity AstraZeneca Plc 1.75% 17 AV/ LN Equity Aviva -0.83% 18 BA/ LN Equity BAE Systems Plc 0.02% 18 BAER SE Equity JULIUS BAER GROUP LTD -1.14% 19 BARC LN Equity Barclays 0.47% 19 BARN SE Equity Barry Callebut AG Reg -1.35% 20 BATS LN Equity British American Tobacco Plc 0.88% 20 BDEV LN Equity Barratt Developments -1.05% 21 BBVA SQ Equity Banco Bilbao Vizcaya Argentaria SA 0.15% 21 BEI GY Equity Beiersdorf AG -0.53% 22 BHP LN Equity BHP GROUP PLC ORD USD0.50 2.23% 22 PROX BB Equity Belgacom SA -0.80% 23 BMW GY Equity Bayer Motoren Werke AG (BMW) 1.00% 23 BIM FP Equity BioMerieux -1.39% 24 BN FP Equity Danone 0.10% 24 BNR GY Equity Brenntag AG -0.85% 25 BNP FP Equity BNP Paribas 1.22% 25 BNZL LN Equity Bunzl -0.85% 26 BP/ LN Equity BP 0.60% 26 BOL SS Equity BOLIDEN AB NPV -0.72% 27 BT/A LN Equity BT Group 0.21% 27 BVI FP Equity Bureau Veritas SA -0.90% 28 CFR SE Equity CIE FINANCIERE RICHEMONT-REG 0.96% 28 CA FP Equity Carrefour SA -1.14% 29 CLNX SQ Equity Cellnex Telecom SA 0.68% 29 CABK SQ Equity CaixaBank -0.51% 30 CNHI IM Equity CNH Industrial 0.51% 30 CAP FP Equity Cap Gemini SA -0.48% 31 CON GY Equity Continental AG 0.19% 31 CARLB DC Equity Carlsberg AS B -0.24% 32 CPG LN Equity Compass Group 0.70% 32 CBK GY Equity Commerzbank AG -0.95% 33 CRH ID Equity CRH ORD EUR0.32 0.65% 33 CHR DC Equity Christian Hansen Holding A/S -0.42% 34 CS FP Equity AXA 0.76% 34 CLN SE Equity Clariant AG -1.28% 35 CSGN SE Equity CREDIT SUISSE GROUP AG-REG 0.50% 35 COLOB DC Equity Coloplast AS B -0.03% 36 ORSTED DC Equity Orsted A/S 0.75% 36 CPR IM Equity Davide Campari Group Milano SpA -0.76% 37 DGE LN Equity Diageo Plc 1.34% 37 CRDA LN Equity Croda Intl -0.58% 38 DHER GY Equity DELIVERY HERO AG 0.52% 38 DANSKE DC Equity Danske Bank A/S -0.15% 39 DNB NO Equity DNB ASA 0.62% 39 DB1 GY Equity Deutsche Boerse AG -0.31% 40 DPW GY Equity Deutsche Post AG 0.91% 40 DBK GY Equity Deutsche Bank AG -0.16% 41 DSM NA Equity Koninklijke DSM NV 0.33% 41 DCC LN Equity DCC ORD EUR0.25 -1.20% 42 DSV DC Equity Dsv A/S 0.76% 42 DIM FP Equity Sartorius Stedim Biotech -0.27% 43 DSY FP Equity Dassault Systemes SA 0.31% 43 DWNI GY Equity Deutsche Wohnen AG BR -0.09% 44 DTE GY Equity Deutsche Telekom 1.95% 44 ELE SQ Equity Endesa SA -0.79% 45 AIR FP Equity EADS NV-Euro Aero Defense 1.71% 45 ELUXB SS Equity Electrolux AB B -1.19% 46 EBS AV Equity Erste Group Bank AG 0.60% 46 EN FP Equity Bouygues -0.35% 47 EDF FP Equity Electricite de France 0.23% 47 EO FP Equity Faurecia -1.16% 48 ENEL IM Equity Enel SpA 1.56% 48 EOAN GY Equity E.ON AG -0.30% 49 ENI IM Equity ENI SpA 0.40% 49 EPIA SS Equity EPIROC AB SER'A'NPV (POST SPLIT) -0.14% 50 ENR GY Equity Siemens Energy AG 0.01% 50 ERF FP Equity EUROFINS SCIENTIFI EUR0.10 -1.04% 51 ERICB SS Equity ERICSSON LM-B SHS 0.43% 51 ESSITYB SS Equity ESSITY AKTIEBOLAG-B -0.39% 52 EVO SS Equity Evolution Gaming Group AB 0.59% 52 EVK GY Equity Evonik Industries -0.25% 53 EXPN LN Equity Experian Plc 0.56% 53 FBK IM Equity FinecoBank Banca Fineco SpA -0.90% 54 STLA IM Equity FIAT CHRYSLER AUTO EUR0.01 0.86% 54 FER SQ Equity Ferrovial SA 0.00% 55 FME GY Equity Fresenius Medical 0.02% 55 FGR FP Equity Eiffage -0.72% 56 FP FP Equity TOTAL SA 0.82% 56 FR FP Equity Valeo -1.03% 57 FRE GY Equity Fresenius SE & Co KGaA 0.14% 57 G24 GY Equity Scout24 AG -1.49% 58 G IM Equity Assicurazioni Generali SpA 0.60% 58 GALP PL Equity Galp Energia SGPS SA -0.60% 59 GIVN SE Equity GIVAUDAN-REG 0.38% 59 SGRE SQ Equity Gamesa Corp Tecnologica SA -0.11% 60 GLEN LN Equity Glencore International PLC 0.40% 60 GEBN SE Equity GEBERIT AG-REG -0.47% 61 GSK LN Equity GlaxoSmithKline 1.50% 61 GMAB DC Equity Genmab AS -0.10% 62 ENGI FP Equity GDF Suez 0.01% 62 GLPG NA Equity Galapagos NV -1.86% 63 HEIA NA Equity Heineken NV 1.15% 63 GN DC Equity GN Store Nord AS -1.22% 64 HEN3 GY Equity Henkel AG & Co. KGaA Nvtg Prf 0.11% 64 GRF SQ Equity Grifols SA -0.73% 65 HEXAB SS Equity HEXAGON AB SER'B'NPV 0.23% 65 ENT LN Equity GVC HLDGS PLC ORD EUR0.01 -0.80% 66 HMB SS Equity Hennes & Mauritz AB B 1.25% 66 HEI GY Equity HeidelbergCement AG -0.27% 67 HSBA LN Equity HSBC Holdings Plc 1.60% 67 HFG GY Equity HelloFresh SE -1.04% 68 IBE SQ Equity Iberdrola SA 0.58% 68 HNR1 GY Equity Hannover Ruckversicherungs AG Reg -0.47% 69 IFX GY Equity Infineon Technologies AG 0.78% 69 IHG LN Equity INTERCONTL HOTELS ORD GBP0.208521303 -0.68% 70 INGA NA Equity ING Groep NV 0.91% 70 III LN Equity 3I Group -0.90% 71 INVEB SS Equity INVESTOR AB SER'B'NPV 1.04% 71 IMB LN Equity Imperial Tobacco -0.47% 72 ISP IM Equity Intesa SanPaolo 1.50% 72 JMAT LN Equity JOHNSON MATTHEY PLC -0.91% 73 ITX SQ Equity Inditex SA 1.48% 73 KBX GY Equity Knorr-Bremse AG -0.27% 74 KBC BB Equity KBC Group NV 0.77% 74 KGF LN Equity Kingfisher -1.27% 75 KER FP Equity PPR SA 1.17% 75 KGX GY Equity KION Group AG -0.56% 76 KNEBV FH Equity Kone Corp B 0.29% 76 KINVB SS Equity KINNEVIK AB SER'B'NPV (POST SPLIT) -0.21% 77 HOLN SE Equity LAFARGEHOLCIM LTD-REG 0.26% 77 KN FP Equity Natixis -0.73% 78 LLOY LN Equity Lloyds Banking Group Plc 0.35% 78 KNIN SE Equity KUEHNE + NAGEL INTL AG-REG -0.29% 79 LONN SE Equity LONZA GROUP AG-REG 0.42% 79 KPN NA Equity Koninklijke KPN NV -0.48% 80 MAERSKB DC Equity AP Moller - Maersk AS B 0.96% 80 KYG ID Equity Kerry Group A -0.74% 81 MC FP Equity LVMH-Moet Vuitton 1.92% 81 LGEN LN Equity Legal & General Group -0.16% 82 MRK GY Equity MERCK KGaA 0.63% 82 LOGN SE Equity Logitech International SA -1.08% 83 NDA SS Equity NORDEA BANK AB NPV 0.64% 83 LR FP Equity Legrand Promesses -0.30% 84 NESTE FH Equity Neste Oil OYJ 0.18% 84 LSEG LN Equity London Stock Exchange Plc 0.00% 85 NESN SE Equity NESTLE SA-REG 2.04% 85 LUNE SS Equity Lundin Petroleum A -1.49% 86 NG/ LN Equity National Grid PLC 0.29% 86 MB IM Equity Mediobanca SpA -0.63% 87 NOKIA FH Equity Nokia OYJ 0.38% 87 MOWI NO Equity Marine Harvest ASA -0.65% 88 NOVN SE Equity NOVARTIS AG-REG 2.12% 88 ML FP Equity Michelin CGDE B Brown -0.15% 89 NOVOB DC Equity Novo Nordisk AS B 1.75% 89 MNG LN Equity M&G PLC ORD GBP0.05 -1.99% 90 OR FP Equity L'Oreal 1.32% 90 MONC IM Equity MONCLER SPA -0.41% 91 PAH3 GY Equity Porsche Automobil Holding SE 0.21% 91 MT NA Equity ArcelorMittal -0.19% 92 PHIA NA Equity Koninklijke Philips Electronics NV (Royal Philips Electronics) 0.50% 92 MTX GY Equity MTU Aero Engines Holding AG -0.38% 93 PRX NA Equity Prosus NV 1.86% 93 NHY NO Equity Norsk Hydro AS -0.35% 94 FLTR ID Equity PADDY POWER PLC 0.75% 94 NN NA Equity NN Group NV -0.79% 95 RACE IM Equity FERRARI NV 1.01% 95 NXT LN Equity Next -0.82% 96 RKT LN Equity Reckitt Benckiser Group PLC 0.52% 96 NZYMB DC Equity Novozymes AS B -0.09% 97 NWG LN Equity ROYAL BANK OF SCOTLAND GROUP 0.40% 97 OCDO LN Equity Ocado Group PLC -0.07% 98 RDSA LN Equity Royal Dutch Shell PLC 1.34% 98 PGHN SE Equity PARTNERS GROUP HLG CHF0.01 (REGD) -0.21% 99 RDSB LN Equity Royal Dutch Shell PLC B 0.64% 99 PNDORA DC Equity Pandora A/S -1.07% 100 REL LN Equity Reed Elsevier 0.76% 100 PRY IM Equity Prysmian SpA -0.52% 101 RIO LN Equity Rio Tinto Plc 1.70% 101 PSN LN Equity Persimmon -0.95% 102 RMS FP Equity Hermes Intl 0.85% 102 PST IM Equity Poste Italiane SpA -0.39% 103 ROG SE Equity ROCHE HOLDING AG-GENUSSCHEIN 2.32% 103 PUB FP Equity Publicis Groupe -0.77% 104 SAF FP Equity Safran SA 1.26% 104 PUM GY Equity PUMA SE -0.87% 105 SAMPO FH Equity Sampo Oyj A 0.25% 105 QIA GY Equity QIAGEN AG -1.47% 106 SAN FP Equity Sanofi-Aventis 1.21% 106 RAND NA Equity Randstad Hldgs NV -0.83% 107 SAP GY Equity SAP AG 1.87% 107 TEP FP Equity Teleperformance -0.79% 108 SCMN SE Equity SWISSCOM AG-REG 0.33% 108 REP SQ Equity Repsol-YPF SA -1.46% 109 SEBA SS Equity SEB-Skand Enskilda Banken A 0.30% 109 RI FP Equity Pernod-Ricard -0.05% 110 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN 0.01% 110 RNO FP Equity Renault SA -0.50% 111 SHL GY Equity Siemens Healthineers AG 0.67% 111 RR/ LN Equity Rolls-Royce Holdings Plc -0.14% 112 SIE GY Equity Siemens AG 1.79% 112 RSA LN Equity RSA Insurance Group Plc -1.34% 113 SIKA SE Equity SIKA AG-BR 0.32% 113 RTO LN Equity Rentokil Initial -0.74% 114 STAN LN Equity Standard Chartered 0.00% 114 SBRY LN Equity Sainsbury (J) -1.55% 115 EQNR NO Equity Statoil ASA 0.76% 115 SCAB SS Equity SCA-Svenska Cellulosa B -0.56% 116 SU FP Equity Schneider Electric SA 1.06% 116 SCHP SE Equity SCHINDLER HOLDING-PART CERT -0.29% 117 SWEDA SS Equity Swedbank AB 0.05% 117 SGRO LN Equity SEGRO Plc -0.56% 118 TEF SQ Equity Telefonica SA 0.12% 118 SGSN SE Equity SGS SA-REG -0.23% 119 TELIA SS Equity TeliaSonera AB 0.49% 119 SHBA SS Equity Svenska Handelsbanken A -0.07% 120 TSCO LN Equity TESCO ORD GBP0.0633333 0.12% 120 SKAB SS Equity SKANSKA AB-B -0.44% 121 UBSG SE Equity UBS GROUP AG-REG 0.40% 121 SKFB SS Equity SKF AB B -0.49% 122 UCG IM Equity UNICREDIT SPA 0.90% 122 SKG ID Equity SMURFIT KAPPA GRP ORD EUR0.001 -0.65% 123 ULVR LN Equity Unilever 1.52% 123 SN/ LN Equity Smith & Nephew -0.38% 124 UMI BB Equity UMICORE NPV 0.15% 124 SOLB BB Equity Solvay -0.02% 125 UPM FH Equity UPM-Kymmene Oyj 0.06% 125 SOON SE Equity SONOVA HOLDING AG-REG -0.89% 126 VIV FP Equity Vivendi SA 0.36% 126 SREN SE Equity SWISS RE AG -0.12% 127 VOD LN Equity Vodafone Group 1.36% 127 SRG IM Equity Snam Rete Gas SpA -0.65% 128 VOLVB SS Equity Volvo AB B 1.49% 128 SRT3 GY Equity Sartorius AG Nvtg Prf -1.04% 129 VWS DC Equity VESTAS WIND SYSTEM DKK1 0.20% 129 SSE LN Equity Scottish & Southern Energy -0.84% 130 FERG LN Equity Wolseley 0.17% 130 STERV FH Equity Stora Enso OYJ R -0.12% 131 ZURN SE Equity ZURICH INSURANCE GROUP AG 0.47% 131 STM FP Equity STMICROELECTRONICS -0.05% 132 STMN SE Equity Straumann AG Reg -0.83% 133 SWMA SS Equity SWEDISH MATCH NPV -1.22% 134 SY1 GY Equity Symrise AG -0.49% 135 TEL2B SS Equity Tele2 AB B -0.73% 136 TEMN SE Equity TEMENOS AG CHF5 (REGD) -1.50% 137 TEN IM Equity Tenaris SA -1.18% 138 TMV GY Equity TeamViewer AG -1.13% 139 TRN IM Equity Terna SpA -0.85% 140 TRYG DC Equity Tryg A/S -0.46% 141 TW/ LN Equity Taylor Wimpey -1.05% 142 UBI FP Equity UBI Soft Entertainment -1.03% 143 UCB BB Equity UCB SA -0.10% 144 UHR SE Equity SWATCH GROUP AG/THE-BR -0.71% 145 WKL NA Equity Wolters Kluwer NV -0.25% 146 WLN FP Equity Worldline SA/France -0.13% 147 WPP LN Equity WPP Plc -0.20% 148 WRT1V FH Equity Wartsila Oyj B -1.04% 149 WTB LN Equity Whitbread -0.70% 150 YAR NO Equity Yara International ASA -0.39% 151 ZAL GY Equity Zalando SE -0.09%