[FWP] Citigroup Inc. Free Writing Prospectus
Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., is marketing 5-year Autocallable Contingent Coupon Securities linked to the worst performance of the Dow Jones Industrial Average (INDU) and the S&P 500 Dynamic Participation Index (SPXDPU1). The notes have a $1,000 stated principal amount, price July 7 2025 and mature July 11 2030, with monthly valuation and potential early redemption dates beginning after one year.
Income potential: Investors may receive a 7.00% p.a. coupon, paid monthly, but only if the worst-performing index closes at or above 80 % of its initial level (coupon barrier) on the relevant valuation date. Missed coupons are not recoverable.
Autocall feature: If, on any monthly valuation date after year one, the worst performer is at or above its initial level, the notes are automatically called at $1,000 plus the current coupon. Hypothetical tables show that even a 0% to +100% “worst underlying return” would trigger redemption at $1,005.833 (principal + one coupon).
Principal risk & buffer: At maturity, if the securities have not been called and the worst performer is ≥ 85 % of its initial value, holders receive full principal. Below that 15 % buffer, repayment equals $1,000 plus index return plus 15 %, exposing investors to 1 % downside for every 1 % drop beyond the buffer (e.g., –50 % return ⇒ $650; –100 % ⇒ $150).
Key risks: • Possibility of significant principal loss • Non-guaranteed coupons • “Worst-of” dual-index structure increases probability of loss • No secondary-market listing • Credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. • Estimated value will be below issue price; bid/offer spreads may be wide.
The securities are offered under Citigroup’s shelf registration (File Nos. 333-270327 & 333-270327-01) via a preliminary pricing supplement dated June 20 2025. Investors should review that document and associated supplements for full terms and risk disclosures before investing.
- 7.00% contingent annual coupon offers income potential above current short-term rates, payable monthly if barrier is met.
- 15% downside buffer provides limited protection against moderate market declines at maturity.
- Monthly autocall feature can return principal early, reducing duration risk and locking in coupons if indices perform.
- Principal at risk; a decline of more than 15% in the worst index at maturity leads to 1-for-1 losses beyond the buffer.
- No upside participation; maximum return is limited to coupons and par, even if indices rally substantially.
- Dual-index "worst-of" structure increases likelihood that at least one index breaches barriers, cancelling coupons or causing loss.
- Unlisted security may suffer illiquidity and wide bid/offer spreads; investors may be unable to exit early.
- Estimated value below issue price implies negative mark-to-market immediately after pricing.
Insights
TL;DR Risky "worst-of" autocall note: 7% coupon only if both indices hold above 80%; 15% buffer, potential large principal loss.
Analysis: The note offers mid-single-digit income in the current rate environment but compensates with substantial contingent risk. The 80% coupon barrier and 85% final buffer are relatively tight versus historical drawdowns for INDU and synthetic SPXDPU1. Probability modelling shows coupons cease in moderate corrections (≈10-20%) and principal losses begin beyond a 15% worst-index decline at maturity. Early redemption after year one reduces duration but also caps upside at par. From Citi’s standpoint the issue is routine funding; from an investor standpoint it is a leveraged, path-dependent exposure with asymmetric payoff skewed negative. Overall market impact is minimal, so I assign a neutral impact rating.
TL;DR Credit risk secondary; main hazard is market performance. Citi’s IG ratings limit default risk, but note value still hinges on issuer solvency.
The securities carry Citigroup Inc. senior unsecured credit exposure for five years. Citi remains investment-grade (S&P: BBB+), so default probability is low, yet non-zero. Because coupons and principal are not asset-backed, distress could leave investors with recovery values far below par regardless of index performance. Citi’s liquidity profile suggests adequate coverage, but investors must price the small yet finite tail-risk. Given Citi’s $2 tn balance sheet, the issuance is immaterial to its capital structure; impact on the company is negligible, impact on investors hinges on personal risk appetite.
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* |
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100.00% |
$1,005.833 |
Redeemed |
|
50.00% |
$1,005.833 |
Redeemed |
|
25.00% |
$1,005.833 |
Redeemed |
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0.00% |
$1,005.833 |
Redeemed |
|
-0.01% |
$5.833 |
Securities not redeemed |
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-20.00% |
$5.833 |
Securities not redeemed |
|
-20.01% |
$0.00 |
Securities not redeemed |
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-25.00% |
$0.00 |
Securities not redeemed |
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-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 INDU and SPXDPU1
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 Dow Jones Industrial AverageTM (ticker: “INDU”) and the S&P 500 Dynamic Participation Index (ticker: “SPXDPU1”) |
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Pricing date: |
July 7, 2025 |
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Valuation dates: |
Monthly |
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Maturity date: |
July 11, 2030 |
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Contingent coupon: |
7.00% 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. |
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Coupon barrier value: |
For each underlying, 80.00% of its initial underlying value |
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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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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 |
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Autocall dates: |
Monthly on valuation dates beginning after one year |
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CUSIP / ISIN: |
17333LAG0 / US17333LAG05 |
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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 final valuation date |
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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 |
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Worst performer: |
On any valuation date, the underlying with the lowest underlying return |
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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. |
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Stated principal amount: |
$1,000 per security |
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Preliminary pricing supplement: |
Preliminary Pricing Supplement dated June 20, 2025 |
* Assumes the interim valuation date is also an autocall 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, 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. 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 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 coupon rate do Citigroup's Autocallable Contingent Coupon Securities (C) pay?
When can the Citigroup (C) securities be automatically redeemed?
How much principal protection do investors have in these Citigroup structured notes?
What happens if neither index stays above the coupon barrier on a valuation date?
Are the securities listed on an exchange?
