[FWP] Citigroup Inc. Free Writing Prospectus

Rhea-AI Filing Summary

Citigroup Global Markets Holdings Inc., fully guaranteed by Citigroup Inc., is offering Market-Linked Securities—Auto-Callable with Contingent Downside Principal at Risk linked to the Nasdaq-100, Russell 2000 and S&P 500. Each $1,000 note may be automatically called if, on any call date, the lowest-performing underlying closes at or above its starting value. Investors then receive $1,000 plus a call premium of 12.80 % (2026), 25.60 % (2027) or 38.40 % (2028).

If not called and the lowest underlying ends below its 75 % threshold on the final calculation day (10-Jul-2028), repayment is reduced proportionally to that index’s decline, exposing investors to full downside below the threshold. The notes pay no coupons, offer no dividend participation and cap upside at the relevant call premium.

Key structural details include:

• Issuer/Guarantor: Citigroup Global Markets Holdings Inc./Citigroup Inc.
• Denomination: $1,000 and multiples thereof
• CUSIP / ISIN: 17333LHG3 / US17333LHG32
• Pricing / Issue / Maturity: 10-Jul-2025 | 15-Jul-2025 | 13-Jul-2028
• Estimated value: ≥ $911.50 per note (below public offering price)
• Agent discount: up to 2.575 %; additional concessions to dealers/WFA

Principal risks summarized in the FWP include potential loss of all principal, no interest income, multiple-underlying risk, credit risk of Citigroup, limited liquidity (unlisted), and the estimated value being lower than offer price. The product is intended for sophisticated investors able to evaluate equity index volatility, correlation and issuer creditworthiness.

Positive

• High call premiums: potential payouts of 12.8 %, 25.6 % or 38.4 % if automatically called on annual observation dates.
• Issuer guarantee: full and unconditional guarantee by Citigroup Inc., a large diversified financial institution.
• Diversified underlyings: exposure linked to three major U.S. equity indices, reducing single-index concentration risk.

Negative

• Principal at risk: investors bear full downside once the lowest index falls below 75 % of its start value.
• Capped upside: maximum return limited to the fixed call premiums; no participation beyond those levels.
• No periodic interest: the securities pay zero coupons, providing no income during the term.
• Valuation discount: estimated initial value (~$911.50) is materially below the $1,000 offering price.
• Liquidity risk: notes will not be listed; secondary market may be limited or unavailable.
• Credit risk: repayment depends on the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc.

Insights

Structured Products Analyst

TL;DR: Capped-upside note offers 12.8–38.4% call premiums but full downside below 75% and no coupons.

The FWP outlines a typical auto-callable, contingent-protected note that monetizes equity volatility for Citigroup. Investors could realize double-digit returns if indices stay flat or rise modestly, but face complete downside exposure once a 25 % drawdown occurs. The call schedule provides three annual exits, front-loading issuer optionality. With an estimated fair value of ≈ $911.50 (≈ 9 % discount to issue price), investors pay a sizeable premium for exposure. Credit risk, lack of secondary liquidity and multi-index correlation further skew risk-reward. Overall, the document is routine disclosure; market impact is negligible.

Risk Analyst

TL;DR: Significant principal risk, limited upside and valuation gap make product high-risk for retail buyers.

While the 38.4 % maximum premium looks attractive, it is only achieved if all three indices avoid any drawdown for three years. Below the 75 % barrier, investors track the full loss of the weakest index, which historically can exceed 40–60 % in stressed markets. The lack of coupons eliminates carry, and the absence of listing curtails exit options. The 8–9 % valuation discount highlights embedded fees and issuer funding benefit. These features, combined with Citigroup credit exposure, render the note more speculative than conventional debt. Impact to Citi’s financials is immaterial; impact to uninformed investors could be adverse.

Citigroup Global Markets Holdings Inc. Fully and Unconditionally Guaranteed by Citigroup Inc. Term Sheet No. 2025-USNCH27480 Dated July 7, 2025 relating to
Preliminary Pricing Supplement No. 2025-USNCH27480 dated July 7, 2025 Registration Statement Nos. 333-270327 and 333-270327-01 Filed Pursuant to Rule 433

Market Linked Securities—Auto-Callable with Contingent Downside

Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100 Index^®, the Russell 2000^® Index and the S&P 500^® Index due July 13, 2028

Term Sheet to Preliminary Pricing Supplement No. 2025-USNCH27480 dated July 7, 2025

Summary of Terms

Issuer and Guarantor:	Citigroup Global Markets Holdings Inc. (issuer) and Citigroup Inc. (guarantor)
Underlyings:	Nasdaq-100 Index®, Russell 2000® Index and S&P 500® Index (each an “underlying” and collectively the “underlyings”)
Pricing Date*:	July 10, 2025
Issue Date*:	July 15, 2025
Stated Principal Amount:	$1,000 per security
Automatic Call:	If the closing value of the lowest performing underlying on any call date (including the final calculation day) is greater than or equal to its starting value, the securities will be automatically called for redemption on the related call settlement date for an amount in cash per security equal to $1,000 plus the call premium applicable to that call date.
Call Dates* and Call Premiums:	The call premium applicable to each call date will be determined on the pricing date and will be at least the value indicated below.
 	Call Date	Call Premium (% of the stated principal amount)
 	July 15, 2026	12.80%
 	July 15, 2027	25.60%
 	July 10, 2028 (the “final calculation day”)	38.40%
Maturity Payment Amount (per security):	If the securities are not automatically called for redemption prior to or at maturity, and, accordingly, the ending value of the lowest performing underlying on the final calculation day is less than its starting value, you will receive a maturity payment amount for each $1,000 stated principal amount security you hold at maturity: ·    if the ending value of the lowest performing underlying on the final calculation day is greater than or equal to its threshold value: $1,000; or ·    if the ending value of the lowest performing underlying on the final calculation day is less than its threshold value: $1,000 × the performance factor of the lowest performing underlying on the final calculation day
Call Settlement Dates:	For any call date, the third business day after such call date, except that the call settlement date for the final calculation day shall be the maturity date.
Maturity Date*:	July 13, 2028
Lowest Performing Underlying:	For any call date, the underlying with the lowest performance factor determined as of that call date
Performance Factor:	For each underlying on any call date, its closing value on that call date divided by its starting value
Starting Value:	For each underlying, its closing value on the pricing date
Threshold Value:	For each underlying, 75% of its starting value
Ending Value:	For each underlying, its closing value on the final calculation day
* subject to change ** In addition, CGMI may pay a fee of up to 0.25% to selected securities dealers in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers.

Summary of Terms (continued)

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 2.575%; 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:	17333LHG3 / US17333LHG32
United States Federal Tax Considerations:	See the preliminary pricing supplement.

 

Hypothetical Payout Profile***

 

 

***assumes call premiums equal to the lowest possible call premiums that may be determined on the pricing date

Any positive return on the securities will be limited to the applicable call premium, even if the closing value of the lowest performing underlying on the applicable call date significantly exceeds its starting value. You will not participate in any appreciation of any underlying beyond the applicable call premium.

If the securities are not automatically called for redemption prior to or at maturity, and the ending value of the lowest performing underlying on the final calculation day is less than its threshold value, you will have full downside exposure to the decrease in the value of the lowest performing underlying from its starting value and you will receive significantly less than the stated principal amount of your securities, and possibly nothing, 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 $911.50 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/831001/000095010325008538/dp231325_424b2-us2582113d.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, underlying 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 Some Or All Of Your Investment.

 

· The Securities Do Not Pay Interest.

 

· Your Potential Return On The Securities Is Limited.

 

· Higher Call Premiums Are Associated With Greater Risk.

 

· The Securities Are Subject To Heightened Risk Because They Have Multiple Underlyings.

 

· The Securities Are Subject To The Risks Of Each Of The Underlyings And Will Be Negatively Affected If Any One Underlying Performs Poorly, Regardless Of The Performance Of Any Other Underlying.

 

· You Will Not Benefit In Any Way From The Performance Of Any Better Performing Underlying.

 

· You Will Be Subject To Risks Relating To The Relationship Between The Underlyings.

 

· You May Not Be Adequately Compensated For Assuming The Downside Risk Of The Lowest Performing Underlying.

 

· The Securities May Be Automatically Called For Redemption Prior To Maturity, Limiting The Term Of The Securities.

 

· The Securities Offer Downside Exposure To The Lowest Performing Underlying, But No Upside Exposure To Any Underlying.

 

· You Will Not Receive Dividends Or Have Any Other Rights With Respect To The Securities Included In Any Underlying.

 

· The Performance Of The Securities Will Depend On The Closing Values Of The Underlyings Solely On The Call Dates, Which Makes The Securities Particularly Sensitive To Volatility In The Closing Values Of The Underlyings On Or Near The Call Dates.

 

· 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.

 

· The Russell 2000^® Index Is Subject To Risks Associated With Small Capitalization Stocks.

 

· Our Offering Of The Securities Is Not A Recommendation Of Any Underlying.

 

· 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.

 

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

 

· A Call Settlement Date Or The Stated Maturity Date May Be Postponed If A Call Date 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, underlying 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, underlying 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, underlying 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 maximum potential return on Citigroup's auto-callable securities (C)?

If called on the final observation, investors receive 38.4 % of the $1,000 principal ($1,384) plus return of principal.

How can the securities be automatically called before maturity?

On any call date (2026, 2027, 2028) if the lowest-performing index closes at or above its starting value, the notes are redeemed early at par plus the applicable premium.

What happens if none of the call conditions are met and an index falls below the 75 % threshold?

At maturity investors receive $1,000 × index performance factor; losses mirror the decline of the worst index and could lead to total loss.

Do the securities pay interest or dividends?

No. The notes pay no periodic coupons and do not pass through dividends from the underlying indices.

What is the estimated value versus the public offering price?

Citigroup estimates the fair value at ≈ $911.50 per $1,000 note on the pricing date, below the issue price due to fees and funding costs.

Are the notes listed on an exchange for trading?

No. The securities will not be listed, and any secondary market will be limited and subject to dealer discretion.