C FWP: Dual Directional Buffer Securities with 15% Protection, 103.5% Participation
Rhea-AI Filing Summary
Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., is offering 4-Year Dual Directional Buffer Securities linked to the worst performer of the Nasdaq-100 Index (NDX) and the S&P 500 Index (SPX).
Key economic terms:
- Stated principal: $1,000 per security; no interim coupons.
- Term: Pricing 31-Jul-2025, maturity 03-Aug-2029.
- Participation on upside: 103.5% of any positive return of the worst performer, paid at maturity.
- Dual-direction feature: If the worst performer finishes between 0% and -15% of its initial level, investors receive an absolute return equal to the magnitude of that decline (e.g., –7.5% index move ➔ +7.5% security gain).
- Downside buffer: First 15% of loss is absorbed. Beyond a -15% move, principal is reduced 1-for-1 with index loss in excess of 15% (e.g., -25% index ➔ -10% security loss).
- Worst-of risk: Payment is driven solely by the lower performing index.
- Credit exposure: All payments subject to the senior unsecured obligations of Citigroup Global Markets Holdings Inc. and the guarantee of Citigroup Inc.
The securities are unlisted, non-interest-bearing, and priced above the issuer’s estimated value at issuance. Investors should review the preliminary pricing supplement for full terms and tax treatment.
Positive
- 103.5% participation on any positive performance of the worst index, delivering leveraged upside.
- 15% downside buffer plus absolute return feature provides protection and potential gains in a mildly negative market.
- Obligation is guaranteed by Citigroup Inc., adding an additional credit backstop.
Negative
- Payment depends on the worst-performing index; a sharp decline in either NDX or SPX erodes return.
- No interest payments or dividends during the four-year term, reducing total income.
- Unlisted security; investors may face liquidity constraints and bid-ask spreads before maturity.
- Principal loss becomes 1:1 beyond the 15% buffer, exposing investors to significant downside.
- Issue price expected to exceed the note’s estimated value, creating negative mark-to-market at inception.
Insights
TL;DR 15% downside buffer plus 103.5% upside looks attractive, but worst-of feature and no income heighten risk.
The note delivers enhanced participation on the upside (103.5%) and symmetric gains on modest declines, a profile that can appeal to investors expecting range-bound or moderately bullish markets over four years. The 15% buffer mitigates typical market pullbacks, yet the worst-performer structure adds correlation risk: a single index’s deep sell-off wipes out gains and drives principal loss past the buffer. With no secondary listing, exit liquidity is uncertain and valuation will be sensitive to volatility and correlation changes. Credit risk of Citigroup remains investment-grade but is a non-trivial consideration over four years. Overall impact is modestly positive for investors comfortable with structured product risk/reward.
TL;DR Useful tactical tool for buffered equity exposure, but illiquidity and worst-of mechanics restrain allocation size.
From a portfolio perspective the note can supplement core equity holdings by providing limited downside protection and leveraged upside if both indices cooperate. However, participation is capped at 103.5%—below typical equity upside expectations over four years—and the asymmetric payoff relative to a simple 85/15 collar must be weighed. Lack of dividends versus direct index ownership reduces total return; meanwhile, fair value likely discounts 4–6% versus issue price, creating negative carry if sold early. I view the product as a niche allocation (<5% of portfolio) for investors seeking targeted risk-managed exposure rather than a core holding.
Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.
Hypothetical Payment at Maturity per Security
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n The Worst Performer |
n The Securities |
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|
Hypothetical Worst Underlying Return on Valuation Date |
Hypothetical Security Return |
Hypothetical Payment at Maturity |
|
|
50.00% |
51.75% |
$1,517.50 |
|
C |
25.00% |
25.875% |
$1,258.75 |
|
|
5.00% |
5.175% |
$1,051.75 |
|
|
0.00% |
0.00% |
$1,000.00 |
|
B |
-7.50% |
7.50% |
$1,075.00 |
|
|
-15.00% |
15.00% |
$1,150.00 |
|
|
-15.01% |
-0.01% |
$999.90 |
|
|
-25.00% |
-10.00% |
$900.00 |
|
A |
-50.00% |
-35.00% |
$650.00 |
|
|
-100.00% |
-85.00% |
$150.00 |
4 Year Dual Directional Buffer Securities Linked to the Worst of NDX and SPX
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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Underlyings: |
The Nasdaq-100 Index® (ticker: “NDX”) and the S&P 500® Index (ticker: “SPX”) |
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Pricing date: |
July 31, 2025 |
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Valuation date: |
July 31, 2029 |
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Maturity date: |
August 3, 2029 |
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Upside return amount: |
$1,000 × the underlying return of the worst performer × the participation rate |
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Participation rate: |
103.50% |
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Absolute return amount: |
$1,000 × the absolute value of the underlying return of the worst performer |
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Final buffer value: |
For each underlying, 85.00% of its initial underlying value |
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Buffer percentage: |
15.00% |
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CUSIP / ISIN: |
17333LGD1 / US17333LGD10 |
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Initial underlying value: |
For each underlying, its closing value on the pricing date |
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Final underlying value: |
For each underlying, its closing value on the valuation date |
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Underlying return: |
For each underlying, (i) its final underlying value minus initial underlying value, divided by (ii) its initial underlying value |
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Worst performer: |
The underlying with the lowest underlying return |
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Payment at maturity: |
•If the final underlying value of the worst performer is greater than or equal to its initial underlying value: $1,000 + the upside return amount •If the final underlying value of the worst performer is less than its initial underlying value but greater than or equal to its final buffer value: $1,000 + the absolute return amount •If the final underlying value of the worst performer is less than its final buffer value: $1,000 + [$1,000 × (the underlying return of the worst performer + the buffer percentage)] If the final underlying value of the worst performer is less than its final buffer value, which means that the worst performer has depreciated from its 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. |
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Stated principal amount: |
$1,000 per security |
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Preliminary pricing supplement: |
Preliminary Pricing Supplement dated June 30, 2025 |
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, 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 |
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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 of your investment. Your payment at maturity will depend on the final underlying value of the worst performer. If the final underlying value of the worst performer is less than its final buffer value, which means that the worst performer has depreciated from its 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 for positive return from depreciation of the worst performer is limited. •The securities do not pay interest. •The securities are subject to heightened risk because they have multiple underlyings. •The return on the securities depends solely on the performance of the worst performer. As a result, the securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs poorly. •You will be subject to risks relating to the relationship between the underlyings. The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly. •You will not receive dividends or have any other rights with respect to the underlyings. •Your payment at maturity depends on the closing value of the worst performer 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. |
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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. |