Citi plans seven-year notes on Fidelity Multifactor Yield index 5% ER

By Emma Trincal

New York, Feb. 8 – Citigroup Global Markets Holdings Inc. plans to price 0% notes due Feb. 28, 2028 linked to the Fidelity Multifactor Yield index 5% ER, according to a 424B2 filing with the Securities and Exchange Commission.

The Fidelity multifactor yield index 5% ER index seeks to maximize risk-adjusted dividend yield while targeting a 5% volatility, according to Fidelity Product Services LLC, the index sponsor.

The rules-based index allocates between 10-year Treasuries and cash to account for potential changes in interest rates, then adjusts allocation of the equity component daily with a goal to meet a 5% volatility target.

The payout at maturity will be par plus at least 100% of any index gain. The exact participation rate will be determined at pricing.

If the index falls, the payout will be par.

Citigroup Global Markets Holdings Inc. is the agent.

The notes will price on Feb. 23 and settle on Feb. 26.

The Cusip number is 17328YPU2.

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