[FWP] Citigroup Inc. Free Writing Prospectus

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC is issuing $8.32 million of Step Down Trigger Autocallable Notes (the “Notes”) linked to the Nasdaq-100, Russell 2000 and S&P 500 indices. The Notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key structural terms

• Trade / Issue / Maturity: 26 Jun 2025 / 30 Jun 2025 / 28 Jun 2028 (3-year tenor).
• Non-call period: 1 year; quarterly observation dates thereafter. If all three indices close at or above their Initial Value on any observation date, or at/above the Downside Threshold (65% of Initial Value) on the Final Valuation Date, the Notes are automatically called.
• Call Return: 9.00% per annum, accruing the longer the Notes remain outstanding. Investors do not participate in index upside beyond this fixed Call Return.
• Downside protection: Contingent only; if any index closes below its 65% Downside Threshold on the Final Valuation Date and the Notes have not been called, principal is repaid at a rate proportionate to the worst-performing index, exposing investors to up to 100% loss.
• Issue price / Estimated value: $10.00 vs. estimated fair value of $9.633, implying an initial value discount of roughly 3.7% (before secondary-market liquidity considerations).
• Fees: Selling commissions of $0.15 per $10 note (1.5%); proceeds to issuer $9.85 per note.
• Minimum investment: $1,000 (denomination $10).

Risk highlights

• No periodic interest payments and no index upside participation.
• Full principal at risk below the 65% threshold; adverse move in only one index triggers loss.
• Credit exposure to JPMorgan Chase Financial and JPMorgan Chase & Co.; Notes are not FDIC-insured.
• Limited or no secondary market; valuation may be volatile and dependent on dealer quotes.

Investor profile: Suitable only for investors who (1) understand structured-product risk, (2) can tolerate loss of principal, (3) are comfortable with exposure to three equity indices, and (4) are willing to forego dividends and conventional bond coupons in exchange for a capped, contingent return.

Positive

• 9% annual Call Return offers potentially attractive yield compared with current Treasury rates if the Notes are called early.
• 65% Downside Threshold provides limited buffer against moderate market declines before principal loss.
• Full JPMorgan Chase & Co. guarantee adds blue-chip credit backing versus lesser-rated issuers.

Negative

• Principal at risk: any index falling more than 35% triggers loss on a worst-of basis.
• No participation in index upside beyond fixed Call Return; missed opportunity cost if equities rally strongly.
• Estimated value below issue price ($9.633 vs. $10), indicating upfront economic cost to investors.
• Limited liquidity; Notes are unlisted and resale depends on dealer willingness.
• Issuer call optionality favors JPMorgan, exposing investors to reinvestment risk.

Insights

Securities Analyst

TL;DR Neutral issuance; typical structured note with capped upside, high risk to principal, limited impact on JPMorgan fundamentals.

From an equity-holder perspective this $8.3 million issuance is immaterial to JPMorgan’s balance sheet, but it demonstrates continued demand for retail structured products. The note’s economics favor the issuer: a 1.5% selling concession, an estimated value 3.7% below the issue price, and the ability to call the security early removes upside risk for JPMorgan while transferring market and credit risk to investors. Because proceeds are small relative to JPMorgan’s >$3 trillion balance sheet, I view the announcement as non-impactful for JPM equity.

Risk Analyst

TL;DR High product risk for buyers; principal contingent, no interest, worst-of basket amplifies downside.

For investors, the worst-of construction combined with a 35% buffer means the probability of principal loss is significant, especially over a three-year horizon that includes small-cap (Russell 2000) exposure. The 9% p.a. Call Return may appear attractive, yet early redemption is controlled solely by the issuer, introducing reinvestment uncertainty. Credit risk is secondary but present; any JPM credit spread widening would depress secondary prices. Liquidity risk is material as the Notes are not exchange-listed. Overall, risk-adjusted return is unfavorable unless an investor has a strong view that all three indices will stay above their initial levels over the observation period.

Citigroup Global Markets Holdings Inc.

Guaranteed by Citigroup Inc.

Hypothetical Payment at Maturity per Security^**

n The Underlying n The Securities

	Hypothetical Underlying Return on Valuation Date	Hypothetical Security Return	Hypothetical Payment at Maturity
	100.00%	13.20%	$1,132.00
	50.00%	13.20%	$1,132.00
D	25.00%	13.20%	$1,132.00
	12.00%	13.20%	$1,132.00
	11.99%	13.189%	$1,131.89
C	5.00%	5.50%	$1,055.00
	0.00%	0.00%	$1,000.00
B	-5.00%	0.00%	$1,000.00
	-10.00%	0.00%	$1,000.00
	-10.01%	-0.01%	$999.90
A	-25.00%	-15.00%	$850.00
	-50.00%	-40.00%	$600.00

13 Month Buffer Securities Linked to SPX

Preliminary Terms

This summary of terms is not complete and should be read with the preliminary pricing supplement below

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Underlying:	The S&P 500® Index (ticker: “SPX”)
Pricing date:	July 10, 2025
Valuation date:	August 10, 2026
Maturity date:	August 13, 2026
Return amount:	$1,000 × the underlying return × the upside participation rate
Upside participation rate:	110.00%
Maximum return at maturity:	At least 13.20%*
Final buffer value:	90.00% of the initial underlying value
Buffer percentage:	10.00%
CUSIP / ISIN:	17333LFH3 / US17333LFH33
Initial underlying value:	The closing value on the pricing date
Final underlying value:	The closing value on the valuation date
Underlying return:	(Final underlying value - initial underlying value) / initial underlying value
Payment at maturity:	•If the final underlying value is greater than the initial underlying value: $1,000 + the return amount, subject to the maximum return at maturity •If the final underlying value is less than or equal to the initial underlying value but greater than or equal to the final buffer value: $1,000 •If the final underlying value is less than the final buffer value: $1,000 + [$1,000 × (the underlying return + the buffer percentage)] If the final underlying value is less than the final buffer value, which means that the underlying has depreciated from the initial underlying value by more than the buffer percentage, you will lose 1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
Stated principal amount:	$1,000 per security
Preliminary pricing supplement:	Preliminary Pricing Supplement dated June 30, 2025

^* The actual maximum return at maturity will be determined on the pricing date.

^** The diagram and the hypotheticals assume the lowest return at maturity.

Citigroup Global Markets Holdings Inc.

Guaranteed by Citigroup Inc.

Additional Information

Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed registration statements (including the accompanying preliminary pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering to which this communication relates. Before you invest, you should read the accompanying preliminary pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus in those registration statements (File Nos. 333-270327 and 333-270327-01) and the other documents Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed with the SEC for more complete information about Citigroup Global Markets Holdings Inc., Citigroup Inc. and this offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, you can request these documents by calling toll-free 1-800-831-9146.

Filed pursuant to Rule 433

This offering summary does not contain all of the material information an investor should consider before investing in the securities. This offering summary is not for distribution in isolation and must be read together with the accompanying preliminary pricing supplement and the other documents referred to therein, which can be accessed via the link on the first page.

Selected Risk Considerations

•You may lose a significant portion of your investment. Your payment at maturity will depend on the final underlying value. If the final underlying value is less than the final buffer value, which means that the underlying has depreciated from the initial underlying value by more than the buffer percentage, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer percentage.

•Your potential return on the securities is limited to the maximum return at maturity.

•The securities do not pay interest.

•You will not receive dividends or have any other rights with respect to the underlying.

•Your payment at maturity depends on the closing value of the underlying on a single day.

•The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup Global Markets Holdings Inc. defaults on its obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under the securities.

•The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.

•The estimated value of the securities on the pricing date will be less than the issue price. For more information about the estimated value of the securities, see the accompanying preliminary pricing supplement.

•The value of the securities prior to maturity will fluctuate based on many unpredictable factors.

•The issuer and its affiliates may have conflicts of interest with you.

•The U.S. federal tax consequences of an investment in the securities are unclear.

The above summary of selected risks does not describe all of the risks associated with an investment in the securities. You should read the accompanying preliminary pricing supplement and product supplement for a more complete description of risks relating to the securities.

FAQ

What indices underlie the JPMorgan Step Down Trigger Autocallable Notes?

The Notes are linked to the Nasdaq-100 (NDX), Russell 2000 (RTY) and S&P 500 (SPX) indices.

When can the Notes be automatically called?

Beginning 1 July 2026 (after a one-year non-call period) on quarterly observation dates if all three indices close at or above their Initial Values, or on the Final Valuation Date if above their Downside Thresholds.

What is the downside protection level?

Principal is protected only if each index remains at or above 65% of its Initial Value on the Final Valuation Date; otherwise repayment is reduced proportionally.

How much are investors paying in fees?

Selling commissions total $0.15 per $10 note (1.5%); the estimated fair value is $9.633, reflecting additional structuring margin.

Are the Notes insured or bank deposits?

No. They are unsecured debt securities and are not FDIC-insured or bank deposits.

What is the minimum investment?

Investors must purchase at least $1,000 of Notes, in $10 denominations.