Date: 23-May-21 Index Weights as of monthly rebalance date 12-May-21 Citi Pure Inverse Size Europe Long-Short Net TR Series II Index (CIISSCE2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 1COV GY Equity Covestro AG 0.81% 1 AAL LN Equity Anglo American Plc -0.96% 2 ABN NA Equity ABN AMRO Group NV 0.76% 2 ABBN SE Equity ABB LTD-REG -0.69% 3 AC FP Equity Accor 0.71% 3 ABF LN Equity Associated British Foods -0.02% 4 ADEN SE Equity ADECCO GROUP AG-REG 0.85% 4 ACA FP Equity Credit Agricole SA -0.63% 5 ADM LN Equity Admiral Group 1.43% 5 ADS GY Equity Adidas AG -1.05% 6 AGN NA Equity Aegon NV 0.88% 6 ADYEN NA Equity Adyen NV -0.59% 7 AD NA Equity Ahold NV 0.05% 7 AENA SQ Equity AENA SA -0.36% 8 AKZA NA Equity AKZO NOBEL NV EUR0.50(POST REV SPLIT) 0.21% 8 AHT LN Equity Ashtead Group -0.17% 9 ALFA SS Equity Alfa Laval AB 0.10% 9 AI FP Equity Air Liquide -1.04% 10 ALO FP Equity Alstom 0.87% 10 ALC SE Equity ALCON AG CHF0.04 -0.02% 11 AMBUB DC Equity Ambu A/S 0.63% 11 ALV GY Equity Allianz SE -1.34% 12 AMP IM Equity Amplifon SpA 1.05% 12 AMS SQ Equity Amadeus IT Hldg SA -0.24% 13 ANTO LN Equity Antofagasta Hldgs 0.15% 13 VNA GY Equity Deutsche Annington Immobilien -0.65% 14 ASM NA Equity ASM Intl 1.14% 14 ASML NA Equity ASML Holding NV -2.10% 15 ATCOB SS Equity Atlas Copco AB B 0.34% 15 ASSAB SS Equity Assa Abloy B -0.32% 16 ATO FP Equity AtoS 1.43% 16 ATCOA SS Equity Atlas Copco AB A -1.28% 17 AV/ LN Equity Aviva 0.83% 17 AZN LN Equity AstraZeneca Plc -1.75% 18 BAER SE Equity JULIUS BAER GROUP LTD 1.14% 18 BA/ LN Equity BAE Systems Plc -0.02% 19 BARN SE Equity Barry Callebut AG Reg 1.35% 19 BARC LN Equity Barclays -0.47% 20 BDEV LN Equity Barratt Developments 1.05% 20 BATS LN Equity British American Tobacco Plc -0.88% 21 BEI GY Equity Beiersdorf AG 0.53% 21 BBVA SQ Equity Banco Bilbao Vizcaya Argentaria SA -0.15% 22 PROX BB Equity Belgacom SA 0.80% 22 BHP LN Equity BHP GROUP PLC ORD USD0.50 -2.23% 23 BIM FP Equity BioMerieux 1.39% 23 BMW GY Equity Bayer Motoren Werke AG (BMW) -1.00% 24 BNR GY Equity Brenntag AG 0.85% 24 BN FP Equity Danone -0.10% 25 BNZL LN Equity Bunzl 0.85% 25 BNP FP Equity BNP Paribas -1.22% 26 BOL SS Equity BOLIDEN AB NPV 0.72% 26 BP/ LN Equity BP -0.60% 27 BVI FP Equity Bureau Veritas SA 0.90% 27 BT/A LN Equity BT Group -0.21% 28 CA FP Equity Carrefour SA 1.14% 28 CFR SE Equity CIE FINANCIERE RICHEMONT-REG -0.96% 29 CABK SQ Equity CaixaBank 0.51% 29 CLNX SQ Equity Cellnex Telecom SA -0.68% 30 CAP FP Equity Cap Gemini SA 0.48% 30 CNHI IM Equity CNH Industrial -0.51% 31 CARLB DC Equity Carlsberg AS B 0.24% 31 CON GY Equity Continental AG -0.19% 32 CBK GY Equity Commerzbank AG 0.95% 32 CPG LN Equity Compass Group -0.70% 33 CHR DC Equity Christian Hansen Holding A/S 0.42% 33 CRH ID Equity CRH ORD EUR0.32 -0.65% 34 CLN SE Equity Clariant AG 1.28% 34 CS FP Equity AXA -0.76% 35 COLOB DC Equity Coloplast AS B 0.03% 35 CSGN SE Equity CREDIT SUISSE GROUP AG-REG -0.50% 36 CPR IM Equity Davide Campari Group Milano SpA 0.76% 36 ORSTED DC Equity Orsted A/S -0.75% 37 CRDA LN Equity Croda Intl 0.58% 37 DGE LN Equity Diageo Plc -1.34% 38 DANSKE DC Equity Danske Bank A/S 0.15% 38 DHER GY Equity DELIVERY HERO AG -0.52% 39 DB1 GY Equity Deutsche Boerse AG 0.31% 39 DNB NO Equity DNB ASA -0.62% 40 DBK GY Equity Deutsche Bank AG 0.16% 40 DPW GY Equity Deutsche Post AG -0.91% 41 DCC LN Equity DCC ORD EUR0.25 1.20% 41 DSM NA Equity Koninklijke DSM NV -0.33% 42 DIM FP Equity Sartorius Stedim Biotech 0.27% 42 DSV DC Equity Dsv A/S -0.76% 43 DWNI GY Equity Deutsche Wohnen AG BR 0.09% 43 DSY FP Equity Dassault Systemes SA -0.31% 44 ELE SQ Equity Endesa SA 0.79% 44 DTE GY Equity Deutsche Telekom -1.95% 45 ELUXB SS Equity Electrolux AB B 1.19% 45 AIR FP Equity EADS NV-Euro Aero Defense -1.71% 46 EN FP Equity Bouygues 0.35% 46 EBS AV Equity Erste Group Bank AG -0.60% 47 EO FP Equity Faurecia 1.16% 47 EDF FP Equity Electricite de France -0.23% 48 EOAN GY Equity E.ON AG 0.30% 48 ENEL IM Equity Enel SpA -1.56% 49 EPIA SS Equity EPIROC AB SER'A'NPV (POST SPLIT) 0.14% 49 ENI IM Equity ENI SpA -0.40% 50 ERF FP Equity EUROFINS SCIENTIFI EUR0.10 1.04% 50 ENR GY Equity Siemens Energy AG -0.01% 51 ESSITYB SS Equity ESSITY AKTIEBOLAG-B 0.39% 51 ERICB SS Equity ERICSSON LM-B SHS -0.43% 52 EVK GY Equity Evonik Industries 0.25% 52 EVO SS Equity Evolution Gaming Group AB -0.59% 53 FBK IM Equity FinecoBank Banca Fineco SpA 0.90% 53 EXPN LN Equity Experian Plc -0.56% 54 FER SQ Equity Ferrovial SA 0.00% 54 STLA IM Equity FIAT CHRYSLER AUTO EUR0.01 -0.86% 55 FGR FP Equity Eiffage 0.72% 55 FME GY Equity Fresenius Medical -0.02% 56 FR FP Equity Valeo 1.03% 56 FP FP Equity TOTAL SA -0.82% 57 G24 GY Equity Scout24 AG 1.49% 57 FRE GY Equity Fresenius SE & Co KGaA -0.14% 58 GALP PL Equity Galp Energia SGPS SA 0.60% 58 G IM Equity Assicurazioni Generali SpA -0.60% 59 SGRE SQ Equity Gamesa Corp Tecnologica SA 0.11% 59 GIVN SE Equity GIVAUDAN-REG -0.38% 60 GEBN SE Equity GEBERIT AG-REG 0.47% 60 GLEN LN Equity Glencore International PLC -0.40% 61 GMAB DC Equity Genmab AS 0.10% 61 GSK LN Equity GlaxoSmithKline -1.50% 62 GLPG NA Equity Galapagos NV 1.86% 62 ENGI FP Equity GDF Suez -0.01% 63 GN DC Equity GN Store Nord AS 1.22% 63 HEIA NA Equity Heineken NV -1.15% 64 GRF SQ Equity Grifols SA 0.73% 64 HEN3 GY Equity Henkel AG & Co. KGaA Nvtg Prf -0.11% 65 ENT LN Equity GVC HLDGS PLC ORD EUR0.01 0.80% 65 HEXAB SS Equity HEXAGON AB SER'B'NPV -0.23% 66 HEI GY Equity HeidelbergCement AG 0.27% 66 HMB SS Equity Hennes & Mauritz AB B -1.25% 67 HFG GY Equity HelloFresh SE 1.04% 67 HSBA LN Equity HSBC Holdings Plc -1.60% 68 HNR1 GY Equity Hannover Ruckversicherungs AG Reg 0.47% 68 IBE SQ Equity Iberdrola SA -0.58% 69 IHG LN Equity INTERCONTL HOTELS ORD GBP0.208521303 0.68% 69 IFX GY Equity Infineon Technologies AG -0.78% 70 III LN Equity 3I Group 0.90% 70 INGA NA Equity ING Groep NV -0.91% 71 IMB LN Equity Imperial Tobacco 0.47% 71 INVEB SS Equity INVESTOR AB SER'B'NPV -1.04% 72 JMAT LN Equity JOHNSON MATTHEY PLC 0.91% 72 ISP IM Equity Intesa SanPaolo -1.50% 73 KBX GY Equity Knorr-Bremse AG 0.27% 73 ITX SQ Equity Inditex SA -1.48% 74 KGF LN Equity Kingfisher 1.27% 74 KBC BB Equity KBC Group NV -0.77% 75 KGX GY Equity KION Group AG 0.56% 75 KER FP Equity PPR SA -1.17% 76 KINVB SS Equity KINNEVIK AB SER'B'NPV (POST SPLIT) 0.21% 76 KNEBV FH Equity Kone Corp B -0.29% 77 KN FP Equity Natixis 0.73% 77 HOLN SE Equity LAFARGEHOLCIM LTD-REG -0.26% 78 KNIN SE Equity KUEHNE + NAGEL INTL AG-REG 0.29% 78 LLOY LN Equity Lloyds Banking Group Plc -0.35% 79 KPN NA Equity Koninklijke KPN NV 0.48% 79 LONN SE Equity LONZA GROUP AG-REG -0.42% 80 KYG ID Equity Kerry Group A 0.74% 80 MAERSKB DC Equity AP Moller - Maersk AS B -0.96% 81 LGEN LN Equity Legal & General Group 0.16% 81 MC FP Equity LVMH-Moet Vuitton -1.92% 82 LOGN SE Equity Logitech International SA 1.08% 82 MRK GY Equity MERCK KGaA -0.63% 83 LR FP Equity Legrand Promesses 0.30% 83 NDA SS Equity NORDEA BANK AB NPV -0.64% 84 LSEG LN Equity London Stock Exchange Plc 0.00% 84 NESTE FH Equity Neste Oil OYJ -0.18% 85 LUNE SS Equity Lundin Petroleum A 1.49% 85 NESN SE Equity NESTLE SA-REG -2.04% 86 MB IM Equity Mediobanca SpA 0.63% 86 NG/ LN Equity National Grid PLC -0.29% 87 MOWI NO Equity Marine Harvest ASA 0.65% 87 NOKIA FH Equity Nokia OYJ -0.38% 88 ML FP Equity Michelin CGDE B Brown 0.15% 88 NOVN SE Equity NOVARTIS AG-REG -2.12% 89 MNG LN Equity M&G PLC ORD GBP0.05 1.99% 89 NOVOB DC Equity Novo Nordisk AS B -1.75% 90 MONC IM Equity MONCLER SPA 0.41% 90 OR FP Equity L'Oreal -1.32% 91 MT NA Equity ArcelorMittal 0.19% 91 PAH3 GY Equity Porsche Automobil Holding SE -0.21% 92 MTX GY Equity MTU Aero Engines Holding AG 0.38% 92 PHIA NA Equity Koninklijke Philips Electronics NV (Royal Philips Electronics) -0.50% 93 NHY NO Equity Norsk Hydro AS 0.35% 93 PRX NA Equity Prosus NV -1.86% 94 NN NA Equity NN Group NV 0.79% 94 FLTR ID Equity PADDY POWER PLC -0.75% 95 NXT LN Equity Next 0.82% 95 RACE IM Equity FERRARI NV -1.01% 96 NZYMB DC Equity Novozymes AS B 0.09% 96 RKT LN Equity Reckitt Benckiser Group PLC -0.52% 97 OCDO LN Equity Ocado Group PLC 0.07% 97 NWG LN Equity ROYAL BANK OF SCOTLAND GROUP -0.40% 98 PGHN SE Equity PARTNERS GROUP HLG CHF0.01 (REGD) 0.21% 98 RDSA LN Equity Royal Dutch Shell PLC -1.34% 99 PNDORA DC Equity Pandora A/S 1.07% 99 RDSB LN Equity Royal Dutch Shell PLC B -0.64% 100 PRY IM Equity Prysmian SpA 0.52% 100 REL LN Equity Reed Elsevier -0.76% 101 PSN LN Equity Persimmon 0.95% 101 RIO LN Equity Rio Tinto Plc -1.70% 102 PST IM Equity Poste Italiane SpA 0.39% 102 RMS FP Equity Hermes Intl -0.85% 103 PUB FP Equity Publicis Groupe 0.77% 103 ROG SE Equity ROCHE HOLDING AG-GENUSSCHEIN -2.32% 104 PUM GY Equity PUMA SE 0.87% 104 SAF FP Equity Safran SA -1.26% 105 QIA GY Equity QIAGEN AG 1.47% 105 SAMPO FH Equity Sampo Oyj A -0.25% 106 RAND NA Equity Randstad Hldgs NV 0.83% 106 SAN FP Equity Sanofi-Aventis -1.21% 107 TEP FP Equity Teleperformance 0.79% 107 SAP GY Equity SAP AG -1.87% 108 REP SQ Equity Repsol-YPF SA 1.46% 108 SCMN SE Equity SWISSCOM AG-REG -0.33% 109 RI FP Equity Pernod-Ricard 0.05% 109 SEBA SS Equity SEB-Skand Enskilda Banken A -0.30% 110 RNO FP Equity Renault SA 0.50% 110 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN -0.01% 111 RR/ LN Equity Rolls-Royce Holdings Plc 0.14% 111 SHL GY Equity Siemens Healthineers AG -0.67% 112 RSA LN Equity RSA Insurance Group Plc 1.34% 112 SIE GY Equity Siemens AG -1.79% 113 RTO LN Equity Rentokil Initial 0.74% 113 SIKA SE Equity SIKA AG-BR -0.32% 114 SBRY LN Equity Sainsbury (J) 1.55% 114 STAN LN Equity