[FWP] Citigroup Inc. Free Writing Prospectus
Rhea-AI Filing Summary
Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., intends to issue 13-month Autocallable Contingent Coupon Securities linked to Morgan Stanley (MS) stock. Each $1,000 note pays a contingent coupon of ≥10.0% per annum, credited monthly only when MS closes at or above the 78% coupon barrier on the relevant valuation date. Starting six months after issuance, the notes will be automatically called at par plus the coupon on any monthly date when MS closes at or above its initial value.
If the notes remain outstanding to maturity (27 Aug 2026) and MS ends ≥78% of its initial value, investors receive the full $1,000 principal. Should MS finish <78%, holders receive a fixed number of MS shares (or cash equivalent) worth the final share price, exposing them to potentially deep losses, up to their entire investment. Hypothetical tables show par repayment down to a –22.00% decline, but a –22.01% decline would cut repayment to $779.90, with zero value at –100%.
Key risks: possible total loss of principal, no guaranteed coupons, limited upside (no participation beyond coupons), early redemption capping income, sensitivity to MS volatility, issuer and guarantor credit risk, illiquidity (no exchange listing), estimated issue value below par, and uncertain U.S. tax treatment.
Positive
- ≥10% per-annum contingent coupon offers attractive income relative to short-term rates.
- 22% downside buffer (coupon and final barriers at 78% of initial level) protects principal against moderate declines.
- Monthly autocall feature can return par plus coupon early if Morgan Stanley trades at or above its initial value.
Negative
- Principal at risk below 78% barrier; losses can reach 100% if MS falls to zero.
- No upside participation beyond fixed coupons, capping total return.
- Coupons not guaranteed; paid only when MS is above the coupon barrier on each valuation date.
- Issuer and guarantor credit risk (Citigroup Global Markets Holdings Inc. and Citigroup Inc.).
- No exchange listing, creating potential liquidity constraints and wider bid-ask spreads.
- Estimated initial value is below issue price, implying negative yield to worst if autocalled quickly.
- Complex and uncertain U.S. tax treatment may reduce after-tax returns.
Insights
TL;DR: Note offers ≥10% annual coupons and 22% downside buffer, but principal is at full equity risk below 78% barrier.
The security combines a high contingent income stream with a relatively short 13-month tenor. Automatic calls mean investors will likely exit early if MS trades at or above its initial level, locking in coupons but forfeiting further income. The 78% final barrier provides a modest 22% cushion; however, once breached, redemption occurs via MS shares, making the payoff strictly linear to the downside. There is no upside participation beyond coupons, so risk-adjusted return depends heavily on MS path volatility and barrier touches. Given comparable income products, the ≥10% coupon is competitive, yet the embedded put means risk of substantial capital loss remains material. Credit exposure to Citigroup and the note’s off-exchange status further temper attractiveness.
TL;DR: Significant downside, limited liquidity, and issuer credit risk offset headline 10% coupon; impact to Citi financials negligible.
The structure shifts equity downside to noteholders without offering upside participation. If MS falls merely 22.01%, repayment drops 22%, highlighting a steep risk cliff; a 50% decline halves principal. Investors also face liquidity risk because the notes are unlisted, and indicative pricing before maturity may be heavily discounted, especially given the issuer’s right to redeem early. Citigroup’s credit profile is investment-grade, but any deterioration directly affects recovery values. From a systemic view, issuance size is unspecified, suggesting minimal balance-sheet impact for Citi; therefore, market impact appears limited.
Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.
Hypothetical Interim Payment per Security**
|
Hypothetical Underlying Return on Interim Valuation Date |
Hypothetical Payment for Interim Valuation Date |
Hypothetical Redemption*** |
|
100.00% |
$1,008.333 |
Redeemed |
|
50.00% |
$1,008.333 |
Redeemed |
|
25.00% |
$1,008.333 |
Redeemed |
|
0.00% |
$1,008.333 |
Redeemed |
|
-0.01% |
$8.333 |
Securities not redeemed |
|
-22.00% |
$8.333 |
Securities not redeemed |
|
-22.01% |
$0.00 |
Securities not redeemed |
|
-25.00% |
$0.00 |
Securities not redeemed |
|
-50.00% |
$0.00 |
Securities not redeemed |
|
-75.00% |
$0.00 |
Securities not redeemed |
|
-100.00% |
$0.00 |
Securities not redeemed |
Hypothetical Payment at Maturity per Security****
Assumes the securities have not been automatically redeemed prior to maturity and does not include the final contingent coupon payment, if any.
|
Hypothetical Underlying Return on Final Valuation Date |
Hypothetical Payment at Maturity or Cash Value of Underlying Shares Received at Maturity |
|
100.00% |
$1,000.00 |
|
50.00% |
$1,000.00 |
|
25.00% |
$1,000.00 |
|
0.00% |
$1,000.00 |
|
-22.00% |
$1,000.00 |
|
-22.01% |
$779.90 |
|
-25.00% |
$750.00 |
|
-50.00% |
$500.00 |
|
-75.00% |
$250.00 |
|
-100.00% |
$0.00 |
13 Month Autocallable Contingent Coupon Securities Linked to MS
Preliminary Terms
This summary of terms is not complete and should be read with the preliminary pricing supplement below
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Issuer: |
Citigroup Global Markets Holdings Inc. |
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Guarantor: |
Citigroup Inc. |
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Underlying: |
Morgan Stanley (ticker: “MS”) |
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Pricing date: |
July 22, 2025 |
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Valuation dates: |
Monthly |
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Maturity date: |
August 27, 2026 |
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Contingent coupon: |
At least 10.00% per annum*, paid monthly only if the closing value of the underlying is greater than or equal to the coupon barrier value on the related valuation date. You are not assured of receiving any contingent coupon. |
|
Coupon barrier value: |
78.00% of the initial underlying value |
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Final barrier value: |
78.00% of the initial underlying value |
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Automatic early redemption: |
If on any autocall date the closing value of the underlying is greater than or equal to the initial underlying value, the securities will be automatically called for an amount equal to the principal plus the related contingent coupon |
|
Autocall dates: |
Monthly on valuation dates beginning after six months |
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Equity ratio: |
The stated principal amount divided by the initial underlying value |
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CUSIP / ISIN: |
17333H6U3 / US17333H6U34 |
|
Initial underlying value: |
The closing value on the pricing date |
|
Final underlying value: |
The closing value on the final valuation date |
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Underlying return: |
(Current closing value - initial underlying value) / initial underlying value |
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Payment at maturity (if not autocalled): |
•If the final underlying value is greater than or equal to the final barrier value: $1,000 •If the final underlying value is less than the final barrier value: a fixed number of underlying shares of the underlying equal to the equity ratio (or, if we elect, the cash value of those shares based on the final underlying value) If the securities are not automatically redeemed prior to maturity and the final underlying value is less than the final barrier value, you will receive underlying shares (or, in our sole discretion, cash) that will be worth significantly less than the stated principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment at maturity. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. |
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Stated principal amount: |
$1,000 per security |
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Preliminary pricing supplement: |
Preliminary Pricing Supplement dated July 10, 2025 |
* The actual contingent coupon rate will be determined on the pricing date.
** The hypotheticals assume that the contingent coupon will be set at the lowest value indicated in this offering summary.
*** Assumes the interim valuation date is also an autocall date.
**** Assumes that the closing value of the underlying on the final valuation date is the same as the closing value of the underlying on the maturity date.
Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.
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Additional Information |
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Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed registration statements (including the accompanying preliminary pricing supplement, product 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, 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 |
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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. |
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Selected Risk Considerations |
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•You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not provide for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed prior to maturity and the final underlying value is less than the final barrier value, you will not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares of the underlying (or, in our sole discretion, cash based on the value thereof) that will be worth significantly less than the stated principal amount and possibly nothing. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. •You will not receive any contingent coupon following any valuation date on which the closing value of the underlying on that valuation date is less than the coupon barrier value. •The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupons if the underlying performs in a way that would otherwise be favorable. •The securities offer downside exposure, but no upside exposure, to the underlying. •The securities are particularly sensitive to the volatility of the closing value of the underlying on or near the valuation dates. •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. |
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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 is the coupon rate on Citigroup’s Autocallable Contingent Coupon Securities (symbol C)?
When can the Citigroup notes be automatically called?
How much principal protection do investors have?
What happens if the notes are not called and MS declines 25%?
Are the securities listed on an exchange?
Who bears credit risk for these securities?
