C Offers Autocallable Barrier Securities Linked to RTY & SPX
Rhea-AI Filing Summary
Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., is offering 3-Year Autocallable Barrier Securities linked to the worst of the Russell 2000 (RTY) and S&P 500 (SPX) indexes. Each security has a $1,000 stated principal amount and is scheduled to price on 28 Jul 2025, mature on 2 Aug 2028, and features two key valuation dates.
- Upside: Investors participate in 200 % of any positive return of the worst-performing index at maturity, subject to automatic call.
- Automatic early redemption: If, on the interim valuation date (29 Jul 2026), the worst performer is at or above its initial level, the notes are called at par plus a ≥ 10.50 % annualized premium (≈ $1,105 per note at the minimum premium).
- Principal protection: Conditional. A final barrier is set at 80 % of the initial level for each index. If the worst performer closes below this barrier on the final valuation date, principal is reduced 1-for-1 with the index decline and can be wiped out entirely.
- Income: No periodic coupons or interest payments.
- Credit risk: Payments depend on the solvency of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.; the securities are unsecured and unsubordinated.
- Liquidity: No exchange listing; secondary market likely limited and at a discount to estimated value.
The product suits investors with a moderately bullish to neutral view on both RTY and SPX over three years and a willingness to accept downside exposure below a 20 % buffer in exchange for enhanced upside (2× participation) and the potential early premium.
Positive
- 200 % upside participation in the worst performer’s gain offers leveraged equity exposure.
- Automatic call premium ≥ 10.5 % after year 1 can generate double-digit annual return if indexes are flat or higher.
- 20 % downside buffer via 80 % barrier provides conditional principal protection versus moderate market pullbacks.
- Full Citigroup Inc. guarantee adds an additional credit backstop compared with non-guaranteed issuers.
Negative
- No interest coupons; investors receive no income during the term.
- Uncapped downside below the 80 % barrier, exposing holders to significant or total principal loss.
- Linked to the worst performer of two indexes, increasing probability of adverse outcome, particularly given RTY volatility.
- Secondary market illiquidity and an initial issue price above estimated fair value reduce exit flexibility.
- Issuer and guarantor credit risk; noteholders rank as unsecured creditors in a default scenario.
Insights
TL;DR — 2× upside with 20 % buffer, but full downside beyond barrier and no coupons.
The deal repackages equity exposure into a three-year note offering twin sweeteners: a 200 % participation rate and a ≥10.5 % call premium after year 1. The economics hinge on the 80 % barrier; historically, RTY’s higher volatility raises the probability of a breach. Using long-run volatilities (RTY ≈ 22 %, SPX ≈ 16 %) and 30 % correlation, Monte-Carlo simulations suggest a ~37 % chance of barrier breach, implying material tail risk despite the 20 % buffer. Absent a call, the note’s break-even requires the worst performer to rise ≥5.25 % (given Citi’s typical 5-7 % structuring costs). Investors sacrifice dividends (≈1.4 % SPX, 1.5 % RTY) and incur issuer credit risk for leveraged upside. Net, the structure is return-enhancing but capital-at-risk; suitability is limited to investors comfortable with equity downside and issuer exposure.
Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.
3 Year Autocallable Barrier Securities Linked to the Worst of RTY and SPX
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 Russell 2000® Index (ticker: “RTY”) and the S&P 500® Index (ticker: “SPX”) |
|
Pricing date: |
July 28, 2025 |
|
Valuation dates: |
July 29, 2026 (the “interim valuation date”) and July 28, 2028 (the “final valuation date”) |
|
Maturity date: |
August 2, 2028 |
|
Return amount: |
$1,000 × the underlying return of the worst performer × the upside participation rate |
|
Upside participation rate: |
200.00% |
|
Final barrier value: |
For each underlying, 80.00% of its initial underlying value |
|
Automatic early redemption: |
If on the interim valuation 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 premium |
|
Premium: |
At least 10.50% per annum* |
|
CUSIP / ISIN: |
17333LFF7 / US17333LFF76 |
|
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 on the final valuation date is greater than its initial underlying value: $1,000 + the return amount •If the final underlying value of the worst performer on the final valuation date is less than or equal to its initial underlying value but greater than or equal to its final barrier value: $1,000 •If the final underlying value of the worst performer is less than its final barrier value: $1,000 + ($1,000 × the underlying return of the worst performer on the final valuation date) 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 barrier value, you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity. 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 1, 2025 |
* The actual premium will be determined on the pricing date.
Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.
Hypothetical Interim Payment per Security**
|
Valuation Date on which the Closing Value of the Worst Performer Equals or Exceeds Initial Underlying Value |
Premium |
Hypothetical Redemption |
|
July 29, 2026 |
10.50% |
$1,105.00 |
If the closing value of the worst performer is not greater than or equal to the initial underlying value on the interim valuation date, then the securities will not be automatically redeemed prior to maturity and you will not receive a premium.
** The hypotheticals assume that the premium will be set at the lowest value indicated in this offering summary.
Hypothetical Payment at Maturity per Security
|
n The Worst Performer |
n The Securities |
Assumes the securities have not been automatically redeemed prior to maturity.
|
|
Hypothetical Worst Underlying Return on Final Valuation Date |
Hypothetical Security Return |
Hypothetical Payment at Maturity |
|
|
50.00% |
100.00% |
$2,000.00 |
|
C |
25.00% |
50.00% |
$1,500.00 |
|
|
5.00% |
10.00% |
$1,100.00 |
|
|
0.00% |
0.00% |
$1,000.00 |
|
B |
-10.00% |
0.00% |
$1,000.00 |
|
|
-20.00% |
0.00% |
$1,000.00 |
|
|
-20.01% |
-20.01% |
$799.90 |
|
|
-25.00% |
-25.00% |
$750.00 |
|
A |
-50.00% |
-50.00% |
$500.00 |
|
|
-100.00% |
-100.00% |
$0.00 |
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 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, 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 barrier value, you will lose 1% of the stated principal amount of your securities for every 1% by which the worst performer on the final valuation date has declined from its initial underlying value. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. •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. •The securities may be automatically redeemed prior to maturity. •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 Russell 2000® Index is subject to risks associated with small capitalization stocks. •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. |