Date: 23-May-21

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

Citi Pure Estimates Momentum Europe Long-Short Net TR Series II Index (CIISEME2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 1COV GY Equity Covestro AG 0.66% 1 ABF LN Equity Associated British Foods -0.41% 2 AAL LN Equity Anglo American Plc 0.70% 2 AC FP Equity Accor -1.77% 3 ABBN SE Equity ABB LTD-REG 0.37% 3 ADM LN Equity Admiral Group -0.03% 4 ABN NA Equity ABN AMRO Group NV 1.69% 4 ADS GY Equity Adidas AG -0.96% 5 ACA FP Equity Credit Agricole SA 0.88% 5 ADYEN NA Equity Adyen NV -0.13% 6 ADEN SE Equity ADECCO GROUP AG-REG 0.04% 6 AENA SQ Equity AENA SA -0.22% 7 ALC SE Equity ALCON AG CHF0.04 0.12% 7 AGN NA Equity Aegon NV -0.55% 8 AMBUB DC Equity Ambu A/S 0.64% 8 AD NA Equity Ahold NV -0.08% 9 AMP IM Equity Amplifon SpA 0.36% 9 AHT LN Equity Ashtead Group -0.87% 10 ANTO LN Equity Antofagasta Hldgs 0.76% 10 AI FP Equity Air Liquide -1.24% 11 ASM NA Equity ASM Intl 0.29% 11 AKZA NA Equity AKZO NOBEL NV EUR0.50(POST REV SPLIT) -1.10% 12 ASML NA Equity ASML Holding NV 0.32% 12 ALFA SS Equity AB -0.14% 13 ASSAB SS Equity B 1.44% 13 ALO FP Equity Alstom -0.04% 14 ATCOA SS Equity AB A 0.38% 14 ALV GY Equity Allianz SE -0.90% 15 ATCOB SS Equity Atlas Copco AB B 0.64% 15 AMS SQ Equity Amadeus IT Hldg SA -0.57% 16 ATO FP Equity AtoS 0.44% 16 VNA GY Equity Deutsche Annington Immobilien -0.05% 17 BAER SE Equity JULIUS BAER GROUP LTD 0.60% 17 AV/ LN Equity Aviva -2.08% 18 BARC LN Equity Barclays 2.00% 18 AZN LN Equity AstraZeneca Plc -0.84% 19 BBVA SQ Equity Banco Bilbao Vizcaya Argentaria SA 0.33% 19 BA/ LN Equity BAE Systems Plc -0.09% 20 BDEV LN Equity Barratt Developments 0.40% 20 BARN SE Equity Barry Callebut AG Reg -0.26% 21 BEI GY Equity Beiersdorf AG 0.67% 21 BATS LN Equity British American Tobacco Plc -0.57% 22 PROX BB Equity Belgacom SA 0.46% 22 BIM FP Equity BioMerieux -0.52% 23 BHP LN Equity BHP GROUP PLC ORD USD0.50 1.97% 23 BNP FP Equity BNP Paribas -0.31% 24 BMW GY Equity Bayer Motoren Werke AG (BMW) 1.67% 24 BNR GY Equity Brenntag AG -1.16% 25 BN FP Equity Danone 0.15% 25 BNZL LN Equity Bunzl -0.46% 26 BOL SS Equity BOLIDEN AB NPV 0.45% 26 BVI FP Equity Bureau Veritas SA -0.74% 27 BP/ LN Equity BP 1.04% 27 CA FP Equity Carrefour SA -0.53% 28 BT/A LN Equity BT Group 0.08% 28 CARLB DC Equity Carlsberg AS B -0.13% 29 CABK SQ Equity CaixaBank 0.65% 29 CLN SE Equity Clariant AG 0.00% 30 CAP FP Equity Cap Gemini SA 0.67% 30 CNHI IM Equity CNH Industrial -0.11% 31 CBK GY Equity Commerzbank AG 1.36% 31 CPG LN Equity Compass Group -0.84% 32 CFR SE Equity CIE FINANCIERE RICHEMONT-REG 0.36% 32 CRDA LN Equity Croda Intl -1.85% 33 CHR DC Equity Christian Hansen Holding A/S 0.08% 33 CRH ID Equity CRH ORD EUR0.32 -0.65% 34 CLNX SQ Equity Cellnex Telecom SA 0.56% 34 CS FP Equity AXA -0.28% 35 COLOB DC Equity Coloplast AS B 0.11% 35 CSGN SE Equity CREDIT SUISSE GROUP AG-REG -3.05% 36 CON GY Equity Continental AG 0.40% 36 DANSKE DC Equity Danske Bank A/S -0.19% 37 CPR IM Equity Davide Campari Group Milano SpA 0.12% 37 DB1 GY Equity Deutsche Boerse AG -0.21% 38 DBK GY Equity Deutsche Bank AG 1.95% 38 ORSTED DC Equity Orsted A/S -0.59% 39 DCC LN Equity DCC ORD EUR0.25 0.31% 39 DGE LN Equity Diageo Plc -1.52% 40 DIM FP Equity Sartorius Stedim Biotech 0.56% 40 DHER GY Equity DELIVERY HERO AG -1.44% 41 DPW GY Equity Deutsche Post AG 1.92% 41 DNB NO Equity DNB ASA -0.20% 42 DSV DC Equity Dsv A/S 1.02% 42 DSM NA Equity Koninklijke DSM NV -0.57% 43 DTE GY Equity Deutsche Telekom 0.01% 43 DSY FP Equity Dassault Systemes SA -0.08% 44 ELE SQ Equity Endesa SA 0.54% 44 DWNI GY Equity Deutsche Wohnen AG BR -0.83% 45 ELUXB SS Equity AB B 1.03% 45 AIR FP Equity EADS NV-Euro Aero Defense -0.69% 46 ENI IM Equity ENI SpA 0.16% 46 EBS AV Equity Erste Group Bank AG -0.10% 47 EOAN GY Equity E.ON AG 0.80% 47 EDF FP Equity Electricite de France -0.46% 48 EPIA SS Equity EPIROC AB SER'A'NPV (POST SPLIT) 0.59% 48 EN FP Equity Bouygues -0.89% 49 ERF FP Equity EUROFINS SCIENTIFI EUR0.10 0.05% 49 ENEL IM Equity Enel SpA -1.00% 50 ERICB SS Equity LM-B SHS 0.14% 50 ENR GY Equity Siemens Energy AG -0.73% 51 EVO SS Equity Evolution Gaming Group AB 0.82% 51 EO FP Equity Faurecia -0.28% 52 FBK IM Equity FinecoBank Banca Fineco SpA 0.39% 52 ESSITYB SS Equity -B -0.23% 53 FP FP Equity TOTAL SA 0.26% 53 EVK GY Equity Evonik Industries -0.93% 54 FR FP Equity Valeo 0.25% 54 EXPN LN Equity Experian Plc -0.87% 55 G24 GY Equity Scout24 AG 0.20% 55 STLA IM Equity FIAT CHRYSLER AUTO EUR0.01 -1.56% 56 GALP PL Equity Galp Energia SGPS SA 0.10% 56 FER SQ Equity Ferrovial SA -0.50% 57 GIVN SE Equity GIVAUDAN-REG 0.99% 57 FGR FP Equity Eiffage -0.16% 58 GLEN LN Equity Glencore International PLC 1.38% 58 FME GY Equity Fresenius Medical -0.16% 59 GLPG NA Equity Galapagos NV 1.78% 59 FRE GY Equity Fresenius SE & Co KGaA -0.57% 60 GN DC Equity GN Store Nord AS 1.08% 60 G IM Equity Assicurazioni Generali SpA -0.50% 61 GRF SQ Equity Grifols SA 0.05% 61 SGRE SQ Equity Gamesa Corp Tecnologica SA -0.23% 62 HEN3 GY Equity Henkel AG & Co. KGaA Nvtg Prf 1.24% 62 GEBN SE Equity GEBERIT AG-REG -0.86% 63 HNR1 GY Equity Hannover Ruckversicherungs AG Reg 0.27% 63 GMAB DC Equity Genmab AS -0.82% 64 HSBA LN Equity HSBC Holdings Plc 0.21% 64 GSK LN Equity GlaxoSmithKline -0.88% 65 III LN Equity 3I Group 1.20% 65 ENGI FP Equity GDF Suez -0.28% 66 INGA NA Equity ING Groep NV 0.75% 66 ENT LN Equity GVC HLDGS PLC ORD EUR0.01 -1.73% 67 ISP IM Equity Intesa SanPaolo 0.18% 67 HEI GY Equity HeidelbergCement AG -1.64% 68 JMAT LN Equity JOHNSON MATTHEY PLC 0.26% 68 HEIA NA Equity Heineken NV -1.60% 69 KER FP Equity PPR SA 0.26% 69 HEXAB SS Equity HEXAGON AB SER'B'NPV -0.34% 70 KGF LN Equity Kingfisher 0.99% 70 HFG GY Equity HelloFresh SE -0.02% 71 KGX GY Equity KION Group AG 1.27% 71 HMB SS Equity Hennes & Mauritz AB B -1.40% 72 KN FP Equity Natixis 0.53% 72 IBE SQ Equity Iberdrola SA -0.55% 73 KNEBV FH Equity Kone Corp B 0.45% 73 IFX GY Equity Infineon Technologies AG -0.53% 74 KNIN SE Equity KUEHNE + NAGEL INTL AG-REG 1.61% 74 IHG LN Equity INTERCONTL HOTELS ORD GBP0.208521303 -0.63% 75 KYG ID Equity Kerry Group A 2.05% 75 IMB LN Equity Imperial Tobacco -1.89% 76 LGEN LN Equity Legal & General Group 0.34% 76 INVEB SS Equity INVESTOR AB SER'B'NPV -1.89% 77 HOLN SE Equity LAFARGEHOLCIM LTD-REG 0.49% 77 ITX SQ Equity Inditex SA -0.41% 78 LLOY LN Equity Lloyds Banking Group Plc 2.00% 78 KBC BB Equity KBC Group NV -0.37% 79 LONN SE Equity LONZA GROUP AG-REG 0.16% 79 KBX GY Equity Knorr-Bremse AG -0.06% 80 LR FP Equity Legrand Promesses 0.87% 80 KINVB SS Equity KINNEVIK AB SER'B'NPV (POST SPLIT) -3.53% 81 MC FP Equity LVMH-Moet Vuitton 2.31% 81 KPN NA Equity Koninklijke KPN NV -1.33% 82 MOWI NO Equity Marine Harvest ASA 0.89% 82 LOGN SE Equity Logitech International SA -1.00% 83 MNG LN Equity M&G PLC ORD GBP0.05 0.37% 83 LSEG LN Equity London Stock Exchange Plc -0.62% 84 MONC IM Equity MONCLER SPA 0.24% 84 LUNE SS Equity Lundin Petroleum A -0.53% 85 MT NA Equity ArcelorMittal 2.78% 85 MAERSKB DC Equity AP Moller - Maersk AS B -0.37% 86 NESN SE Equity NESTLE SA-REG 1.14% 86 MB IM Equity Mediobanca SpA -0.13% 87 NG/ LN Equity National Grid PLC 0.01% 87 ML FP Equity Michelin CGDE B Brown -1.04% 88 FH Equity Nokia OYJ 0.67% 88 MRK GY Equity MERCK KGaA -0.87% 89 NOVOB DC Equity Novo Nordisk AS B 0.65% 89 MTX GY Equity MTU Aero Engines Holding AG -0.70% 90 NXT LN Equity Next 0.31% 90 NDA SS Equity BANK AB NPV -0.28% 91 OCDO LN Equity Ocado Group PLC 0.51% 91 NESTE FH Equity Neste Oil OYJ -2.98% 92 PNDORA DC Equity Pandora A/S 1.61% 92 NHY NO Equity Norsk Hydro AS -0.77% 93 PSN LN Equity Persimmon 0.23% 93 NN NA Equity NN Group NV -0.66% 94 PST IM Equity Poste Italiane SpA 0.70% 94 NOVN SE Equity NOVARTIS AG-REG -0.82% 95 PUM GY Equity PUMA SE 0.85% 95 NZYMB DC Equity Novozymes AS B -1.33% 96 RAND NA Equity Randstad Hldgs NV 0.61% 96 OR FP Equity L'Oreal -0.05% 97 RKT LN Equity Reckitt Benckiser Group PLC 0.24% 97 PAH3 GY Equity Porsche Automobil Holding SE -0.06% 98 NWG LN Equity ROYAL BANK OF SCOTLAND GROUP 1.58% 98 PGHN SE Equity PARTNERS GROUP HLG CHF0.01 (REGD) -0.54% 99 TEP FP Equity Teleperformance 2.61% 99 PHIA NA Equity Koninklijke Philips Electronics NV (Royal Philips Electronics) -0.60% 100 RDSA LN Equity Royal Dutch Shell PLC 0.22% 100 PRX NA Equity Prosus NV -1.29% 101 RDSB LN Equity Royal Dutch Shell PLC B 0.71% 101 PRY IM Equity Prysmian SpA -0.10% 102 REP SQ Equity Repsol-YPF SA 0.60% 102 PUB FP Equity Publicis Groupe -0.25% 103 RI FP Equity Pernod-Ricard 1.68% 103 FLTR ID Equity PADDY POWER PLC -0.69% 104 RIO LN Equity Rio Tinto Plc 1.54% 104 QIA GY Equity QIAGEN AG -0.44% 105 RMS FP Equity Hermes Intl 1.38% 105 RACE IM Equity FERRARI NV -0.58% 106 ROG SE Equity ROCHE HOLDING AG-GENUSSCHEIN 0.68% 106 REL LN Equity Reed Elsevier -0.40% 107 RTO LN Equity Rentokil Initial 0.32% 107 RNO FP Equity Renault SA -0.16% 108 SAMPO FH Equity Sampo Oyj A 0.52% 108 RR/ LN Equity Rolls-Royce Holdings Plc -0.65% 109 SAP GY Equity SAP AG 1.05% 109 RSA LN Equity RSA Insurance Group Plc -1.20% 110 SCAB SS Equity SCA-Svenska Cellulosa B 0.26% 110 SAF FP Equity Safran SA -1.75% 111 SCMN SE Equity SWISSCOM AG-REG 0.48% 111 SAN FP Equity Sanofi-Aventis -0.27% 112 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN 0.06% 112 SBRY LN Equity Sainsbury (J) -0.50% 113 SGRO LN Equity SEGRO Plc 0.88% 113 SCHP SE Equity SCHINDLER HOLDING-PART CERT -0.37% 114 SGSN SE Equity SGS SA-REG 0.01% 114 SEBA SS Equity SEB-Skand Enskilda Banken A -0.57% 115 SHBA SS Equity Svenska A 0.73% 115 SHL GY Equity Siemens Healthineers AG -0.75% 116 SKAB SS Equity AB-B 0.30% 116 SIE GY Equity Siemens AG -0.25% 117 SKFB SS Equity SKF AB B 1.53% 117 SIKA SE Equity SIKA AG-BR -1.32% 118 SRG IM Equity Snam Rete Gas SpA 0.88% 118 SKG ID Equity SMURFIT KAPPA GRP ORD EUR0.001 -0.71% 119 SRT3 GY Equity Sartorius AG Nvtg Prf 0.70% 119 SN/ LN Equity Smith & Nephew -0.32% 120 SSE LN Equity Scottish & Southern Energy 0.38% 120 SOLB BB Equity Solvay -0.54% 121 STAN LN Equity Standard Chartered 0.72% 121 SOON SE Equity SONOVA HOLDING AG-REG -0.05% 122 STERV FH Equity Stora Enso OYJ R 0.17% 122 SREN SE Equity SWISS RE AG -0.97% 123 STMN SE Equity Straumann AG Reg 0.35% 123 EQNR NO Equity Statoil ASA -0.07% 124 SWMA SS Equity NPV 1.91% 124 STM FP Equity STMICROELECTRONICS -0.24% 125 TEL2B SS Equity AB B 0.59% 125 SU FP Equity Schneider Electric SA -0.52% 126 TEMN SE Equity TEMENOS AG CHF5 (REGD) 0.96% 126 SWEDA SS Equity AB -0.11% 127 TEN IM Equity Tenaris SA 0.48% 127 SY1 GY Equity Symrise AG -0.18% 128 TRN IM Equity Terna SpA 0.27% 128 TEF SQ Equity Telefonica SA -0.26% 129 TW/ LN Equity Taylor Wimpey 0.88% 129 TELIA SS Equity TeliaSonera AB -0.06% 130 UBI FP Equity UBI Soft Entertainment 0.57% 130 TMV GY Equity TeamViewer AG -1.67% 131 UBSG SE Equity UBS GROUP AG-REG 1.11% 131 TRYG DC Equity Tryg A/S -1.84% 132 UCB BB Equity UCB SA 0.63% 132 TSCO LN Equity TESCO ORD GBP0.0633333 -2.14% 133 UCG IM Equity UNICREDIT SPA 0.20% 133 UHR SE Equity SWATCH GROUP AG/THE-BR -0.09% 134 UPM FH Equity UPM-Kymmene Oyj 0.37% 134 ULVR LN Equity Unilever -0.18% 135 VOD LN Equity Vodafone Group 0.72% 135 UMI BB Equity UMICORE NPV -0.18% 136 VWS DC Equity VESTAS WIND SYSTEM DKK1 0.08% 136 VIV FP Equity Vivendi SA -0.99% 137 WLN FP Equity Worldline SA/France 0.01% 137 VOLVB SS Equity AB B -1.73% 138 WRT1V FH Equity Wartsila Oyj B 0.80% 138 WKL NA Equity Wolters Kluwer NV -0.31% 139 WTB LN Equity Whitbread 0.32% 139 FERG LN Equity Wolseley -1.27% 140 YAR NO Equity Yara International ASA 0.14% 140 WPP LN Equity WPP Plc -0.78% 141 ZAL GY Equity Zalando SE 0.10% 141 ZURN SE Equity ZURICH INSURANCE GROUP AG -0.15%