[FWP] Citigroup Inc. Free Writing Prospectus
Rhea-AI Filing Summary
Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., intends to issue 13-month Autocallable Contingent Coupon Securities tied to the worst performer of the Nasdaq-100 Index (NDX) and the Russell 2000 Index (RTY).
The notes pay a contingent monthly coupon of at least 10.30% p.a. only when the worst performer’s closing value is ≥ 75% of its initial level (coupon barrier). Beginning six months after issuance, the securities will be automatically called at par plus the coupon if the worst performer closes at or above its initial level on any monthly valuation date.
If the notes are not autocalled, principal repayment at maturity depends on the final worst-performer level: (i) return of full principal if the level is ≥ 75% of initial; (ii) a dollar-for-dollar loss if it is below 75%, down to total loss at a -100% return. Investors receive no upside participation beyond coupons.
Hypothetical examples illustrate full redemption at $1,000 when worst-performer returns are down to -25%, but steep losses thereafter (e.g., $749.90 at -25.01%, $0 at -100%).
The securities are unsecured and subject to Citigroup credit risk, will not be exchange-listed, and are expected to price on 22 Jul 2025 with maturity on 27 Aug 2026. Key risks include potential total principal loss, coupon deferral, multi-underlying correlation risk, secondary-market illiquidity and uncertain U.S. tax treatment.
Positive
- Double-digit contingent coupon (≥10.30% p.a.) provides attractive income if barriers are met.
- Monthly autocall feature can return capital early, reducing market-exposure period.
Negative
- Principal at risk below 75% barrier; losses track index decline one-for-one, down to zero.
- No participation in upside; returns capped at coupons, forfeiting index gains.
- Dependency on worst performer increases probability of barrier breach due to correlation risk.
- Unsecured Citigroup credit risk; note value sensitive to issuer downgrade.
- No exchange listing may limit secondary-market liquidity and pricing transparency.
- Estimated value below issue price, implying upfront fees/negative carry for investors.
Insights
TL;DR Routine high-coupon note; attractive yield offset by full downside below -25% and Citigroup credit risk.
The product offers a double-digit headline yield and a relatively shallow 75% barrier, features that may appeal to income-seekers expecting benign index performance over 13 months. Monthly autocall increases the probability of early return of capital, but also caps coupon stream. Absence of upside participation means the trade is essentially short volatility on both NDX and RTY. Because payoff hinges on the worst performer, correlation risk is meaningful—divergence between large-cap tech and small-caps could quickly breach the barrier. From Citigroup’s perspective the issue is balance-sheet light and fee-generative; for investors, risk-reward skews negative once worst-performer decline exceeds 25%. Overall, impact on Citi is immaterial; suitability is limited to investors comfortable with equity-linked downside and issuer credit exposure.
TL;DR Neutral for Citi; investors face asymmetric payoff—limited upside, full downside past -25%.
This FWP does not change Citigroup’s credit profile; it adds another structured note to its shelf. For buyers, the note functions like a short put spread with an embedded call: you earn 10%+ if indices stay above 75% and forfeit gains if they rally. Liquidity is poor (no listing), and mark-to-market will be volatile due to vega exposure. The credit component cannot be ignored—any widening in Citi CDS or downgrade would hit secondary pricing. Given current implied vol levels on NDX/RTY, the coupon appears fair but not exceptional. I would classify the instrument as capital-preservation conditional, not core portfolio.
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% |
$1,008.583 |
Redeemed |
|
50.00% |
$1,008.583 |
Redeemed |
|
25.00% |
$1,008.583 |
Redeemed |
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0.00% |
$1,008.583 |
Redeemed |
|
-0.01% |
$8.583 |
Securities not redeemed |
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-25.00% |
$8.583 |
Securities not redeemed |
|
-25.01% |
$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 |
|
-25.00% |
$1,000.00 |
|
-25.01% |
$749.90 |
|
-50.00% |
$500.00 |
|
-75.00% |
$250.00 |
|
-100.00% |
$0.00 |
13 Month Autocallable Contingent Coupon Securities Linked to the Worst of NDX and RTY
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 Russell 2000® Index (ticker: “RTY”) |
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Pricing date: |
July 22, 2025 |
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Valuation dates: |
Monthly |
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Maturity date: |
August 27, 2026 |
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Contingent coupon: |
At least 10.30% 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, 75.00% of its initial underlying value |
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Final barrier value: |
For each underlying, 75.00% of its initial underlying value |
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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 six months |
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CUSIP / ISIN: |
17333LKZ7 / US17333LKZ75 |
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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 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, and you will not receive any contingent coupon payment at maturity. 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 July 10, 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.
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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 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. •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 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. |
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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 is the coupon rate on Citigroup’s 13-month NDX/RTY autocallable note (ticker C)?
When can the Citigroup autocallable securities be redeemed early?
How much principal could I lose at maturity?
Do the securities participate in index gains above initial levels?
What indices underlie the securities and why is correlation important?
Is the note listed on an exchange?
What credit risk do investors bear?
