| Add to balance / Manage account | User: | Log out |
| Prospect News home > News index > List of issuers F > Headlines for Fidelity Multifactor Yield index 5% ER > News item |
Citi plans five-year notes on Fidelity Multifactor Yield index 5% ER
By Emma Trincal
New York, May 28 – Citigroup Global Markets Holdings Inc. plans to price 0% market-linked notes due July 6, 2026 linked to the Fidelity Multifactor Yield index 5% ER, according to a 424B2 filing with the Securities and Exchange Commission.
The rules-based index pursues a factor investing strategy while maintaining a volatility target of 5%.
The index dynamically allocates its hypothetical portfolio between an equity allocation and a fixed income allocation, which together make up the “base allocation.” Separately, the index also allocates to an uninvested allocation, which consists of cash generating no return.
The index allocates weight between the equity allocation and the fixed-income allocation in inverse proportion to their respective realized volatilities.
The fixed-income allocation consists of a hypothetical allocation between the 10-year U.S. Treasury Futures Market Tracker index and uninvested cash.
The equity allocation consists of six Fidelity equity factor indexes less a daily excess return deduction at a rate equal to the federal funds rate.
The six equity factor indexes include the Fidelity High Dividend index with a 45% weight, the Fidelity U.S. Momentum Factor index with a 15% weight, the Fidelity U.S. Value Factor index with a 10% weight, the Fidelity U.S. Quality Factor index with a 10% weight, the Fidelity U.S. Low Volatility Factor index with a 10% weight and the Fidelity Small-Mid Multifactor index with a 10% weight.
The payout at maturity will be par plus at least 100% of any index gain. The exact participation rate will be set at pricing.
If the index falls, the payout will be par.
Citigroup Global Markets Holdings Inc. is the agent.
The notes will price on June 30 and settle on July 6.
The Cusip number is 17329FGP3.
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.