[FWP] Citigroup Inc. Free Writing Prospectus

Rhea-AI Filing Summary

Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., has filed a Free Writing Prospectus for principal-at-risk Market-Linked Securities linked to an equally weighted basket of Amazon, Microsoft and NVIDIA. The notes will be priced on 30 July 2025, issued on 4 August 2025 and mature on 4 August 2027.

Key economic terms

• Stated principal: $1,000 per note; denominations in integral multiples of $1,000.
• Participation rate: 125% of any positive basket return, subject to a maximum return of at least 32% (≥ $320 per note) to be fixed on the pricing date.
• Downside protection: 15% fixed buffer; investors bear 1-for-1 losses if the basket declines by more than 15% at maturity, up to an 85% loss of principal.
• Threshold value: 85% of the starting value (starting value = 100).
• No periodic coupons; maturity payment depends solely on basket performance on the calculation day (30 July 2027).
• Estimated value on the pricing date expected at ≈ $915.50 (≈ 91.6% of issue price), reflecting dealer models and internal funding rate.
• Agent discount: up to 2.825%; selling concession to dealers of 2.00% and distribution expense fee to WFA of 0.075%.
• CUSIP/ISIN: 17333LCU7 / US17333LCU70; the notes will not be listed on any exchange.

Investor considerations & risks

• No interest or dividend payments and capped upside.
• Return and principal depend on a single-day observation; interim market value may differ materially.
• Credit exposure to Citigroup Global Markets Holdings Inc. and Citigroup Inc.; repayment relies on issuer and guarantor creditworthiness.
• Estimated value is below public offering price; secondary market prices, if any, may be lower and influenced by dealer compensation and hedging.
• Product is complex, not FDIC-insured, and intended for investors who understand equity correlation, structured-product valuation and issuer credit risk.

Investors should review the preliminary pricing supplement, product supplement, prospectus supplement and prospectus for complete terms and risk factors before investing.

Insights

Structured Products Analyst

TL;DR: Citi offers 2-year equity-basket notes with 125% upside to a ≥32% cap and 15% downside buffer; risk borne beyond buffer.

The FWP outlines a typical leveraged upside/buffered downside structure. A 32% minimum cap equates to an effective 2-year simple yield ceiling of ~14.9% p.a.; anything above a 25.6% basket gain will be truncated given the 125% participation. Downside is linear below a 15% buffer, exposing investors to equity risk without interim protection. The internal valuation of ≈ $915.50 signals a 8.4% initial value drag from funding and dealer spread, which investors effectively pay up-front. From Citigroup’s perspective the issuance generates fee income (≈ 2.9% gross spread) and inexpensive term funding. For Citi equity holders this is routine balance-sheet activity, not a transformational event. For note buyers, the credit profile of Citi remains the paramount non-market risk.

Risk Analyst

TL;DR: Product carries correlation, timing and credit risk; principal loss up to 85% possible if basket drops >15%.

Key risk is exposure to three highly correlated mega-cap tech names; historical drawdowns show simultaneous declines, so buffer effectiveness may be limited in stressed scenarios. Single-day observation introduces path dependency: a sharp sell-off on 30 July 2027 could negate earlier gains. Investors forego dividends (~0.6–1.0% annual yield) and pay an implied financing cost reflected in the $84.50 discount to par. Liquidity risk is considerable as the notes are unlisted and bid-ask spreads can widen. Credit downgrade of Citi during the term could depress secondary prices regardless of basket performance. Overall risk-return profile suits tactical investors comfortable with both market and credit exposure.

Citigroup Global Markets Holdings Inc. Fully and Unconditionally Guaranteed by Citigroup Inc. Term Sheet No. 2025–USNCH27369 dated June 27, 2025 relating to
Preliminary Pricing Supplement No. 2025–USNCH27369 dated June 27, 2025 Registration Statement Nos. 333-270327 and 333-270327-01 Filed Pursuant to Rule 433

Market Linked Securities— Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside

Principal at Risk Securities Linked to a Basket due August 4, 2027

Term Sheet to Preliminary Pricing Supplement No. 2025-USNCH27369 dated June 27, 2025

Summary of Terms

Issuer and Guarantor: Citigroup Global Markets Holdings Inc. (issuer) and Citigroup Inc. (guarantor)

Basket:	Underlying	Weighting
	Amazon.com, Inc.	33.33%
	Microsoft Corporation	33.34%
	NVIDIA Corporation	33.33%

Pricing Date*:	July 30, 2025
Issue Date*:	August 4, 2025
Stated Principal Amount:	$1,000 per security
Maturity Payment Amount (per security):	· if the ending value is greater than the starting value: $1,000 plus the lesser of: (i) $1,000 × basket return × participation rate; and (ii) the maximum return; · if the ending value is less than or equal to the starting value, but greater than or equal to the threshold value: $1,000; or · if the ending value is less than the threshold value: $1,000 +  [$1,000 × (basket return + buffer amount)]
Participation Rate:	125%
Maximum Return:	At least 32.00% of the stated principal amount ($320 per security), to be determined on the pricing date.
Calculation Day*:	July 30, 2027
Maturity Date*:	August 4, 2027
Basket Return:	(ending value – starting value) / starting value
Underlying Return:	For each underlying, (final underlying value – initial underlying value) / initial underlying value
Weighted Underlying Return:	For each underlying, its underlying return multiplied by its weighting
Starting Value:	100
Threshold Value:	85% of the starting value
Buffer Amount:	15%
Ending Value:	100 × (1 + the sum of the weighted underlying return of each underlying)
Initial Underlying Value:	For each underlying, its closing value on the pricing date. The “closing value” of each underlying on any date of determination is the stock closing price of its underlying stock on that day, as provided in the accompanying product supplement. The “underlying stock” for The Goldman Sachs Group, Inc., JPMorgan Chase & Co. and Morgan Stanley is their respective shares of common stock.
Final Underlying Value:	For each underlying, its closing value on the calculation day
Calculation Agent:	Citigroup Global Markets Inc. (“CGMI”), an affiliate of Citigroup Global Markets Holdings Inc.
Denominations:	$1,000 and any integral multiple of $1,000
Agent Discount**:	Up to 2.825%; dealers, including those using the trade name Wells Fargo Advisors (“WFA”), may receive a selling concession of 2.00% and WFA may receive a distribution expense fee of 0.075%.
CUSIP / ISIN:	17333LCU7 / US17333LCU70
United States Federal Tax Considerations:	See the preliminary pricing supplement.

* subject to change

** In addition, CGMI may pay a fee of up to 0.10% to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers.

Hypothetical Payout Profile (maturity payment amount)***

***assumes a maximum return equal to the lowest possible maximum return that may be determined on the pricing date

If the ending value is less than the threshold value, you will have 1-to-1 downside exposure to the decrease in the value of the basket in excess of the buffer amount and will lose some, and possibly up to 85%, of the stated principal amount of your securities at maturity.

On the date of the related preliminary pricing supplement, Citigroup Global Markets Holdings Inc. expects that the estimated value of the securities on the pricing date will be at least $915.50 per security, which will be less than the public offering price. The estimated value of the securities is based on CGMI’s proprietary pricing models and Citigroup Global Markets Holdings Inc.’s internal funding rate. It is not an indication of actual profit to CGMI or other of Citigroup Global Markets Holdings Inc.’s affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in the accompanying preliminary pricing supplement.

Preliminary Pricing Supplement:

https://www.sec.gov/Archives/edgar/data/200245/000095010325007962
/dp230777_424b2-us2578879d.htm

The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” in this term sheet and the accompanying preliminary pricing supplement and “Risk Factors” in the accompanying product supplement.

This introductory term sheet does not provide all of the information that an investor should consider prior to making an investment decision.

Investors should carefully review the accompanying preliminary pricing supplement, product supplement, prospectus supplement and prospectus before making a decision to invest in the securities.  

NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY

Summary Risk Factors

The risks set forth below are discussed in detail in the “Summary Risk Factors” section in the accompanying preliminary pricing supplement and the “Risk Factors” section in the accompanying product supplement. Please review those risk disclosures carefully.

· You May Lose A Significant Portion Of Your Investment.

· The Securities Do Not Pay Interest.

· Your Potential Return On The Securities Is Limited.

· You Will Not Receive Dividends Or Have Any Other Rights With Respect To The Underlyings.

· Your Maturity Payment Amount Depends On The Value Of The Basket On A Single Day.

· The Securities Are Subject To The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.

· 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, Based On CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering Price.

· The Estimated Value Of The Securities Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.

· The Estimated Value Of The Securities Would Be Lower If It Were Calculated Based On Wells Fargo’s Determination Of The Secondary Market Rate With Respect To Us.

· The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which Any Person May Be Willing To Buy The Securities From You In The Secondary Market.

· The Value Of The Securities Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors.

· We Have Been Advised That, Immediately Following Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage Account Statements Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.

· Changes In The Closing Values Of The Underlyings May Offset Each Other.

· The Underlyings May Be Highly Correlated In Decline.

· An Investment In The Securities Is Not A Diversified Investment.

· Our Offering Of The Securities Is Not A Recommendation Of The Basket Or The Underlyings.

· The Closing Value Of An Underlying May Be Adversely Affected By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.

· We And Our Affiliates And Wells Fargo And Its Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.

· The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations With Respect To The Securities.

· The Securities Will Not Be Adjusted For All Events That Could Affect The Value Of The Shares Of Any Underlying Stock.

· If A Reorganization Event Occurs With Respect To An Underlying Stock, The Calculation Agent May Make Adjustments To The Terms Of The Securities That Adversely Affect Your Return On The Securities.

· Changes That Affect The Underlyings May Affect The Value Of Your Securities.

· The Stated Maturity Date May Be Postponed If The Calculation Day Is Postponed.

· The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.

Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed a registration statement (including a related preliminary pricing supplement, an accompanying product supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering to which this communication relates. You should read the related preliminary pricing supplement and the accompanying product supplement, prospectus supplement and prospectus in that registration statement (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 get these documents for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively, you can request the related preliminary pricing supplement, accompanying product supplement, prospectus supplement and prospectus by calling toll-free 1-800-831-9146.

Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo Finance LLC and Wells Fargo & Company.

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FAQ

What is the participation rate on Citigroup's Market-Linked Securities (C)?

125% of any positive basket return, subject to the maximum return cap.

How much upside can investors earn on these Citigroup notes?

The notes offer a maximum return of at least 32% (≥ $320 per $1,000), finalized on the pricing date.

What downside protection do the Citigroup buffered notes provide?

They include a 15% buffer; losses begin only if the basket falls more than 15% at maturity.

When do the Citigroup structured notes mature?

The notes mature on 4 August 2027, two days after the calculation day.

Will the Citigroup notes pay periodic interest or dividends?

No. The securities do not pay interest and investors forgo any dividends on the underlying stocks.

What is the estimated value of the Citigroup notes at issuance?

Citigroup estimates the value at ≈ $915.50 per $1,000 note, below the public offering price.