[FWP] Citigroup Inc. Free Writing Prospectus

Rhea-AI Filing Summary

Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. (ticker: C), is marketing 5-Year Autocallable Contingent Coupon Securities linked to the worst performer of two underlyings: the iShares 20+ Year Treasury Bond ETF (TLT) and the S&P 500 Dynamic Participation Index (SPXDPU1).

Key commercial terms

• Contingent coupon: ≥7.40% p.a. (set on pricing 29-Jul-2025), paid monthly only if the worst performer’s closing value ≥80% of its initial value.
• Autocall feature: Monthly after the first year; called at par plus coupon if the worst performer ≥100% of its initial value on any valuation date.
• Downside buffer: 15%. If not autocalled and the worst performer falls >15%, investors lose principal point-for-point beyond the buffer.
• Maturity payment (31-Jul-2030): $1,000 if buffer holds; otherwise $1,000 + [$1,000 × (return + 15%)]. Minimum redemption $150 based on hypotheticals.
• Credit exposure: Payments depend on the senior unsecured obligations of Citigroup Global Markets Holdings Inc. and the guarantee of Citigroup Inc.

Illustrative outcomes

• Interim valuation: If worst return ≥-0.01%, note is redeemed at $1,006.167 (principal + coupon). Once return turns negative, coupon drops to $6.167 and principal is not repaid until maturity.
• Final valuation: Principal fully protected down to -15%. Deeper losses scale to a hypothetical $650 at -50% and $150 at -100%.

Primary risks: investors may receive no coupons, may lose up to 85% of principal, have no upside beyond coupons, face correlation risk between two diverse assets, and must absorb Citigroup credit risk. The notes are not exchange-listed and are expected to price below issue value in secondary markets.

Positive

• High contingent coupon of at least 7.40% p.a. offers income well above current Treasury yields.
• 15% downside buffer protects principal against moderate declines in the worst-performing underlying.
• Monthly autocall can return principal early, reducing duration and credit exposure if markets perform.

Negative

• No upside participation; returns capped at coupons plus principal.
• Dual-underlying structure increases probability of breaching coupon and buffer levels.
• Potential loss of up to 85% of principal if the worst performer falls more than 85%.
• Credit risk to Citigroup Global Markets Holdings Inc. and Citigroup Inc., both senior unsecured.
• Illiquidity; securities are unlisted and expected to trade below issue price in secondary markets.

Insights

Structured Products Analyst

TL;DR: Attractive yield with 15% buffer, but no upside and dual-asset risk make this a neutral risk-adjusted proposition.

The security offers an above-market coupon (>7.4% p.a.) contingent on both TLT and SPXDPU1 staying within 20% of their initial values. The 15% buffer is standard for five-year autocallables, but two uncorrelated underlyings heighten the probability that at least one breaches the barrier, jeopardising both coupon stream and principal. Autocallability benefits Citi’s funding profile yet caps investor income if markets rally. Given current rate volatility and equity uncertainty into 2030, the payoff profile resembles a moderately leveraged short-put basket—suitable only for investors with a neutral-to-slightly-bullish outlook on both long-duration Treasuries and U.S. equities who can tolerate credit and liquidity risk.

Portfolio Manager

TL;DR: Funding vehicle for Citi; minor impact on equity value, largely immaterial to shareholders.

Citigroup issues hundreds of structured notes annually; this $1,000-denominated offering will raise modest wholesale funding at a spread lower than straight debt because investors accept embedded options. From a shareholder viewpoint, credit exposure is tiny relative to Citi’s $1.4 trn balance sheet; the note marginally diversifies funding sources but does not alter capital or earnings trajectory. Rating agencies already incorporate such issuances, so I see negligible impact on the stock.

Citigroup Global Markets Holdings Inc.

Guaranteed by Citigroup Inc.

Hypothetical Interim Payment per Security^**

Hypothetical Worst Underlying Return on Interim Valuation Date	Hypothetical Payment for Interim Valuation Date	Hypothetical Redemption***
100.00%	$1,006.167	Redeemed
50.00%	$1,006.167	Redeemed
25.00%	$1,006.167	Redeemed
0.00%	$1,006.167	Redeemed
-0.01%	$6.167	Securities not redeemed
-20.00%	$6.167	Securities not redeemed
-20.01%	$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 Worst Underlying Return on Final Valuation Date	Hypothetical Payment at Maturity
100.00%	$1,000.00
50.00%	$1,000.00
25.00%	$1,000.00
0.00%	$1,000.00
-15.00%	$1,000.00
-15.01%	$999.90
-25.00%	$900.00
-50.00%	$650.00
-75.00%	$400.00
-100.00%	$150.00

5 Year Autocallable Contingent Coupon Securities Linked to the Worst of TLT and SPXDPU1

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.
Underlyings:	The iShares® 20+ Year Treasury Bond ETF (ticker: “TLT”) and the S&P 500 Dynamic Participation Index (ticker: “SPXDPU1”)
Pricing date:	July 29, 2025
Valuation dates:	Monthly
Maturity date:	July 31, 2030
Contingent coupon:	At least 7.40% per annum*, paid monthly only if the closing value of the worst performer is greater than or equal to its coupon barrier value on the related valuation date. You are not assured of receiving any contingent coupon.
Coupon barrier value:	For each underlying, 80.00% of its initial underlying value
Final buffer value:	For each underlying, 85.00% of its initial underlying value
Buffer percentage:	15.00%
Automatic early redemption:	If on any autocall date the closing value of the worst performer is greater than or equal to its 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 one year
CUSIP / ISIN:	17333LJB2 / US17333LJB27
Initial underlying value:	For each underlying, its closing value on the pricing date
Final underlying value:	For each underlying, its closing value on the final valuation date
Underlying return:	For each underlying on any valuation date, (i) its current closing value minus initial underlying value, divided by (ii) its initial underlying value
Worst performer:	On any valuation date, the underlying with the lowest underlying return
Payment at maturity (if not autocalled):	•If the final underlying value of the worst performer is greater than or equal to its final buffer value: $1,000 •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 on the final valuation date + the buffer percentage)] If the securities are not automatically redeemed prior to maturity and the final underlying value of the worst performer on the final valuation date is less than its final buffer value, which means that the worst performer on the final valuation date 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.
Stated principal amount:	$1,000 per security
Preliminary pricing supplement:	Preliminary Pricing Supplement dated July 9, 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.

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. 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, your payment at maturity will depend on the final underlying value of the worst performer on the final valuation date. If the final underlying value of the worst performer on the final valuation date is less than its final buffer value, which means that the worst performer on the final valuation date 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.

•You will not receive any contingent coupon following any valuation date on which the closing value of the worst performer on that valuation date is less than its coupon barrier value.

•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.

•The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupons if the worst performer performs in a way that would otherwise be favorable.

•The securities offer downside exposure, but no upside exposure, to the underlyings.

•The securities are particularly sensitive to the volatility of the closing values of the underlyings 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 iShares^® 20+ Year Treasury Bond ETF is subject to significant risks, including interest rate-related and credit-related risks.

•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 coupon rate do Citigroup (C) Autocallable Contingent Coupon Securities pay?

They pay a contingent coupon of at least 7.40% per annum, set on 29-Jul-2025 and payable monthly if conditions are met.

How does the 15% buffer work on the Citigroup structured note?

At maturity, if the worst performer is ≥85% of its initial value, investors receive full principal; below that, losses begin point-for-point.

When can the Citigroup note be automatically called?

Beginning 12 months after issuance, on any monthly valuation date where the worst performer is ≥100% of its initial value.

What are the main risks of the C Free Writing Prospectus security?

Key risks include loss of principal beyond 15% downside, no guaranteed coupons, credit risk to Citi, dual-asset correlation risk, and illiquidity.

Which underlyings determine performance of the Citigroup Autocallable Security?

Performance is linked to the iShares 20+ Year Treasury Bond ETF (TLT) and the S&P 500 Dynamic Participation Index (SPXDPU1); the worse of the two is used.