[FWP] Citigroup Inc. Free Writing Prospectus
Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., is offering 1.5-year Market-Linked Securities tied to the Citi Dynamic Asset Selector 5 Excess Return Index (CIISDA5N). Each $1,000 note returns principal at maturity plus an upside payment only if the Index appreciates from the July 31, 2025 pricing date to the February 1, 2027 valuation date. The upside participation rate is at least 175%; therefore a 25% Index gain would generate a 43.75% security return ($1,437.50). If the Index is flat or lower, investors receive only the principal—no downside participation but also no periodic interest.
Key terms include: unsecured senior obligation; credit exposure to both Citigroup Global Markets Holdings Inc. and Citigroup Inc.; no listing on any exchange; and an estimated value on the pricing date below the issue price. The underlying index uses a rules-based trend and volatility framework allocating between S&P 500 futures and 10-year U.S. Treasury futures, targets 5% volatility, deducts a 0.85% annual index fee, and has operated since June 13, 2016. Material risks highlighted include potential zero return, secondary-market illiquidity, index methodology limitations, and financing-cost drag on futures-based constituents.
Citigroup Global Markets Holdings Inc., garantita da Citigroup Inc., offre titoli Market-Linked della durata di 1,5 anni collegati all'Indice Citi Dynamic Asset Selector 5 Excess Return (CIISDA5N). Ogni titolo da $1.000 rimborsa il capitale a scadenza più un pagamento aggiuntivo solo se l'Indice registra un aumento tra la data di prezzo del 31 luglio 2025 e la data di valutazione del 1 febbraio 2027. Il tasso di partecipazione all’aumento è almeno del 175%; pertanto, un incremento del 25% dell’Indice genererebbe un rendimento del titolo del 43,75% ($1.437,50). Se l’Indice resta stabile o scende, gli investitori ricevono solo il capitale, senza partecipazione al ribasso e senza interessi periodici.
I termini principali includono: obbligazione senior non garantita; esposizione creditizia sia a Citigroup Global Markets Holdings Inc. sia a Citigroup Inc.; nessuna quotazione su alcun mercato; e un valore stimato alla data di prezzo inferiore al prezzo di emissione. L’indice sottostante utilizza un modello basato su regole di trend e volatilità, allocando tra futures sull’S&P 500 e futures sui Treasury USA a 10 anni, mira a una volatilità del 5%, detrae una commissione annuale dello 0,85% sull’indice ed è operativo dal 13 giugno 2016. I rischi principali evidenziati includono il potenziale rendimento zero, la scarsa liquidità del mercato secondario, i limiti della metodologia dell’indice e l’impatto dei costi di finanziamento sui componenti basati sui futures.
Citigroup Global Markets Holdings Inc., garantizado por Citigroup Inc., ofrece valores Market-Linked a 1,5 años vinculados al Índice Citi Dynamic Asset Selector 5 Excess Return (CIISDA5N). Cada bono de $1,000 devuelve el principal al vencimiento más un pago adicional solo si el índice se aprecia desde la fecha de precio del 31 de julio de 2025 hasta la fecha de valuación del 1 de febrero de 2027. La tasa de participación al alza es al menos del 175%; por lo tanto, una ganancia del 25% en el índice generaría un rendimiento del 43.75% en el valor ($1,437.50). Si el índice se mantiene igual o baja, los inversionistas solo reciben el principal, sin participación a la baja ni intereses periódicos.
Los términos clave incluyen: obligación senior no garantizada; exposición crediticia tanto a Citigroup Global Markets Holdings Inc. como a Citigroup Inc.; sin cotización en ninguna bolsa; y un valor estimado en la fecha de precio inferior al precio de emisión. El índice subyacente utiliza un marco basado en reglas de tendencia y volatilidad que asigna entre futuros del S&P 500 y futuros del Tesoro estadounidense a 10 años, apunta a una volatilidad del 5%, deduce una comisión anual del 0.85% y está operativo desde el 13 de junio de 2016. Los riesgos materiales destacados incluyen posible rendimiento cero, iliquidez en el mercado secundario, limitaciones en la metodología del índice y el impacto de los costos de financiamiento en los componentes basados en futuros.
Citigroup Global Markets Holdings Inc.는 Citigroup Inc.가 보증하며, Citi Dynamic Asset Selector 5 Excess Return Index (CIISDA5N)에 연동된 1.5년 만기 시장 연계 증권을 제공합니다. 각 $1,000 어음은 2025년 7월 31일 가격 책정일부터 2027년 2월 1일 평가일까지 지수가 상승한 경우에만 원금과 추가 수익금을 지급합니다. 상승 참여율은 최소 175%로, 지수가 25% 상승하면 증권 수익률은 43.75%($1,437.50)가 됩니다. 지수가 유지되거나 하락하면 투자자는 원금만 받으며, 하락에 대한 참여는 없고 정기 이자도 지급되지 않습니다.
주요 조건으로는 무담보 선순위 채무, Citigroup Global Markets Holdings Inc.와 Citigroup Inc.에 대한 신용 노출, 거래소 상장 없음, 가격 책정일 기준 발행가보다 낮은 추정 가치가 포함됩니다. 기초 지수는 규칙 기반의 추세 및 변동성 프레임워크를 사용하여 S&P 500 선물과 10년 만기 미국 국채 선물 간에 자산을 배분하며, 5% 변동성을 목표로 하고 연 0.85%의 지수 수수료를 공제하며 2016년 6월 13일부터 운영 중입니다. 주요 위험 요소로는 무수익 가능성, 2차 시장 유동성 부족, 지수 방법론 한계, 선물 구성 요소에 대한 자금 조달 비용 부담 등이 있습니다.
Citigroup Global Markets Holdings Inc., garanti par Citigroup Inc., propose des titres Market-Linked d’une durée de 1,5 an liés à l’Indice Citi Dynamic Asset Selector 5 Excess Return (CIISDA5N). Chaque note de 1 000 $ rembourse le principal à l’échéance plus un paiement à la hausse uniquement si l’Indice s’apprécie entre la date de tarification du 31 juillet 2025 et la date d’évaluation du 1er février 2027. Le taux de participation à la hausse est d’au moins 175% ; ainsi, une hausse de 25 % de l’Indice générerait un rendement de 43,75 % sur le titre (1 437,50 $). Si l’Indice est stable ou en baisse, les investisseurs ne reçoivent que le principal — pas de participation à la baisse ni d’intérêts périodiques.
Les principales caractéristiques comprennent : une obligation senior non garantie ; une exposition au crédit de Citigroup Global Markets Holdings Inc. et Citigroup Inc. ; aucune cotation en bourse ; et une valeur estimée à la date de tarification inférieure au prix d’émission. L’indice sous-jacent utilise un cadre basé sur des règles de tendance et de volatilité, allouant entre les contrats à terme sur le S&P 500 et les contrats à terme sur les bons du Trésor américain à 10 ans, vise une volatilité de 5 %, déduit une commission annuelle de 0,85 % et fonctionne depuis le 13 juin 2016. Les risques importants mentionnés incluent un rendement potentiellement nul, une illiquidité sur le marché secondaire, des limites méthodologiques de l’indice et l’impact des coûts de financement sur les composants basés sur les contrats à terme.
Citigroup Global Markets Holdings Inc., garantiert durch Citigroup Inc., bietet 1,5-jährige marktgebundene Wertpapiere an, die an den Citi Dynamic Asset Selector 5 Excess Return Index (CIISDA5N) gekoppelt sind. Jede $1.000-Anleihe zahlt bei Fälligkeit das Kapital zurück sowie eine zusätzliche Zahlung nur, wenn der Index zwischen dem Preisfeststellungstag am 31. Juli 2025 und dem Bewertungsdatum am 1. Februar 2027 steigt. Die Teilnahmequote am Anstieg beträgt mindestens 175%; ein 25%iger Indexanstieg würde somit eine Rendite von 43,75% auf das Wertpapier ($1.437,50) generieren. Bleibt der Index unverändert oder fällt, erhalten Anleger nur das Kapital zurück – keine Beteiligung an Verlusten und keine periodischen Zinsen.
Wichtige Bedingungen umfassen: unbesicherte vorrangige Verbindlichkeit; Kreditrisiko gegenüber Citigroup Global Markets Holdings Inc. und Citigroup Inc.; keine Börsennotierung; und ein geschätzter Wert am Preisfeststellungstag unter dem Ausgabepreis. Der zugrundeliegende Index nutzt einen regelbasierten Trend- und Volatilitätsansatz, der zwischen S&P 500-Futures und 10-jährigen US-Staatsanleihen-Futures allokiert, zielt auf 5% Volatilität ab, zieht eine jährliche Indexgebühr von 0,85% ab und ist seit dem 13. Juni 2016 in Betrieb. Wesentliche Risiken umfassen mögliche Nullrendite, Illiquidität am Sekundärmarkt, Einschränkungen der Indexmethodik und Finanzierungskostenbelastungen bei den futuresbasierten Komponenten.
- Full principal protection at maturity regardless of Index performance.
- High upside participation rate of at least 175%, enhancing gains if the Index rises.
- Underlying index employs volatility targeting to control risk and diversify with Treasury futures.
- Investors receive no interest payments during the 1.5-year term.
- Zero return if the Index is flat or declines, despite time value of money.
- Notes are unlisted and may be illiquid; early sales could incur losses.
- Credit risk to Citigroup Global Markets Holdings Inc. and Citigroup Inc.
- Estimated value on pricing date is below issue price, creating initial mark-to-market loss.
- Index’s 0.85% fee and 5% volatility cap can limit upside performance.
Insights
TL;DR – Capital protected, high upside leverage, but zero coupon, illiquid and dependent on a complex trend-following index.
The offering provides full principal protection with leveraged upside (≥175%) on a short 1.5-year tenor, appealing to investors seeking equity exposure with downside insulation. However, the note monetises no income stream and values will trade at a discount because the issuer’s estimated value is below par. Return depends on a single observation date and a relatively new, futures-based index that caps participation through a 5% volatility target and 0.85% fee, potentially muting gains. Credit risk of Citigroup entities remains, and absence of listing could hinder exit prior to maturity. Overall, product characteristics are balanced—neither materially positive nor negative for investors or Citigroup’s financials.
Citigroup Global Markets Holdings Inc., garantita da Citigroup Inc., offre titoli Market-Linked della durata di 1,5 anni collegati all'Indice Citi Dynamic Asset Selector 5 Excess Return (CIISDA5N). Ogni titolo da $1.000 rimborsa il capitale a scadenza più un pagamento aggiuntivo solo se l'Indice registra un aumento tra la data di prezzo del 31 luglio 2025 e la data di valutazione del 1 febbraio 2027. Il tasso di partecipazione all’aumento è almeno del 175%; pertanto, un incremento del 25% dell’Indice genererebbe un rendimento del titolo del 43,75% ($1.437,50). Se l’Indice resta stabile o scende, gli investitori ricevono solo il capitale, senza partecipazione al ribasso e senza interessi periodici.
I termini principali includono: obbligazione senior non garantita; esposizione creditizia sia a Citigroup Global Markets Holdings Inc. sia a Citigroup Inc.; nessuna quotazione su alcun mercato; e un valore stimato alla data di prezzo inferiore al prezzo di emissione. L’indice sottostante utilizza un modello basato su regole di trend e volatilità, allocando tra futures sull’S&P 500 e futures sui Treasury USA a 10 anni, mira a una volatilità del 5%, detrae una commissione annuale dello 0,85% sull’indice ed è operativo dal 13 giugno 2016. I rischi principali evidenziati includono il potenziale rendimento zero, la scarsa liquidità del mercato secondario, i limiti della metodologia dell’indice e l’impatto dei costi di finanziamento sui componenti basati sui futures.
Citigroup Global Markets Holdings Inc., garantizado por Citigroup Inc., ofrece valores Market-Linked a 1,5 años vinculados al Índice Citi Dynamic Asset Selector 5 Excess Return (CIISDA5N). Cada bono de $1,000 devuelve el principal al vencimiento más un pago adicional solo si el índice se aprecia desde la fecha de precio del 31 de julio de 2025 hasta la fecha de valuación del 1 de febrero de 2027. La tasa de participación al alza es al menos del 175%; por lo tanto, una ganancia del 25% en el índice generaría un rendimiento del 43.75% en el valor ($1,437.50). Si el índice se mantiene igual o baja, los inversionistas solo reciben el principal, sin participación a la baja ni intereses periódicos.
Los términos clave incluyen: obligación senior no garantizada; exposición crediticia tanto a Citigroup Global Markets Holdings Inc. como a Citigroup Inc.; sin cotización en ninguna bolsa; y un valor estimado en la fecha de precio inferior al precio de emisión. El índice subyacente utiliza un marco basado en reglas de tendencia y volatilidad que asigna entre futuros del S&P 500 y futuros del Tesoro estadounidense a 10 años, apunta a una volatilidad del 5%, deduce una comisión anual del 0.85% y está operativo desde el 13 de junio de 2016. Los riesgos materiales destacados incluyen posible rendimiento cero, iliquidez en el mercado secundario, limitaciones en la metodología del índice y el impacto de los costos de financiamiento en los componentes basados en futuros.
Citigroup Global Markets Holdings Inc.는 Citigroup Inc.가 보증하며, Citi Dynamic Asset Selector 5 Excess Return Index (CIISDA5N)에 연동된 1.5년 만기 시장 연계 증권을 제공합니다. 각 $1,000 어음은 2025년 7월 31일 가격 책정일부터 2027년 2월 1일 평가일까지 지수가 상승한 경우에만 원금과 추가 수익금을 지급합니다. 상승 참여율은 최소 175%로, 지수가 25% 상승하면 증권 수익률은 43.75%($1,437.50)가 됩니다. 지수가 유지되거나 하락하면 투자자는 원금만 받으며, 하락에 대한 참여는 없고 정기 이자도 지급되지 않습니다.
주요 조건으로는 무담보 선순위 채무, Citigroup Global Markets Holdings Inc.와 Citigroup Inc.에 대한 신용 노출, 거래소 상장 없음, 가격 책정일 기준 발행가보다 낮은 추정 가치가 포함됩니다. 기초 지수는 규칙 기반의 추세 및 변동성 프레임워크를 사용하여 S&P 500 선물과 10년 만기 미국 국채 선물 간에 자산을 배분하며, 5% 변동성을 목표로 하고 연 0.85%의 지수 수수료를 공제하며 2016년 6월 13일부터 운영 중입니다. 주요 위험 요소로는 무수익 가능성, 2차 시장 유동성 부족, 지수 방법론 한계, 선물 구성 요소에 대한 자금 조달 비용 부담 등이 있습니다.
Citigroup Global Markets Holdings Inc., garanti par Citigroup Inc., propose des titres Market-Linked d’une durée de 1,5 an liés à l’Indice Citi Dynamic Asset Selector 5 Excess Return (CIISDA5N). Chaque note de 1 000 $ rembourse le principal à l’échéance plus un paiement à la hausse uniquement si l’Indice s’apprécie entre la date de tarification du 31 juillet 2025 et la date d’évaluation du 1er février 2027. Le taux de participation à la hausse est d’au moins 175% ; ainsi, une hausse de 25 % de l’Indice générerait un rendement de 43,75 % sur le titre (1 437,50 $). Si l’Indice est stable ou en baisse, les investisseurs ne reçoivent que le principal — pas de participation à la baisse ni d’intérêts périodiques.
Les principales caractéristiques comprennent : une obligation senior non garantie ; une exposition au crédit de Citigroup Global Markets Holdings Inc. et Citigroup Inc. ; aucune cotation en bourse ; et une valeur estimée à la date de tarification inférieure au prix d’émission. L’indice sous-jacent utilise un cadre basé sur des règles de tendance et de volatilité, allouant entre les contrats à terme sur le S&P 500 et les contrats à terme sur les bons du Trésor américain à 10 ans, vise une volatilité de 5 %, déduit une commission annuelle de 0,85 % et fonctionne depuis le 13 juin 2016. Les risques importants mentionnés incluent un rendement potentiellement nul, une illiquidité sur le marché secondaire, des limites méthodologiques de l’indice et l’impact des coûts de financement sur les composants basés sur les contrats à terme.
Citigroup Global Markets Holdings Inc., garantiert durch Citigroup Inc., bietet 1,5-jährige marktgebundene Wertpapiere an, die an den Citi Dynamic Asset Selector 5 Excess Return Index (CIISDA5N) gekoppelt sind. Jede $1.000-Anleihe zahlt bei Fälligkeit das Kapital zurück sowie eine zusätzliche Zahlung nur, wenn der Index zwischen dem Preisfeststellungstag am 31. Juli 2025 und dem Bewertungsdatum am 1. Februar 2027 steigt. Die Teilnahmequote am Anstieg beträgt mindestens 175%; ein 25%iger Indexanstieg würde somit eine Rendite von 43,75% auf das Wertpapier ($1.437,50) generieren. Bleibt der Index unverändert oder fällt, erhalten Anleger nur das Kapital zurück – keine Beteiligung an Verlusten und keine periodischen Zinsen.
Wichtige Bedingungen umfassen: unbesicherte vorrangige Verbindlichkeit; Kreditrisiko gegenüber Citigroup Global Markets Holdings Inc. und Citigroup Inc.; keine Börsennotierung; und ein geschätzter Wert am Preisfeststellungstag unter dem Ausgabepreis. Der zugrundeliegende Index nutzt einen regelbasierten Trend- und Volatilitätsansatz, der zwischen S&P 500-Futures und 10-jährigen US-Staatsanleihen-Futures allokiert, zielt auf 5% Volatilität ab, zieht eine jährliche Indexgebühr von 0,85% ab und ist seit dem 13. Juni 2016 in Betrieb. Wesentliche Risiken umfassen mögliche Nullrendite, Illiquidität am Sekundärmarkt, Einschränkungen der Indexmethodik und Finanzierungskostenbelastungen bei den futuresbasierten Komponenten.
Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.
Hypothetical Payment at Maturity per Security**
|
n The Index |
n The Securities |
|
|
Hypothetical Index Return on Valuation Date |
Hypothetical Security Return |
Hypothetical Payment at Maturity |
|
|
50.00% |
87.50% |
$1,875.00 |
|
B |
25.00% |
43.75% |
$1,437.50 |
|
|
5.00% |
8.75% |
$1,087.50 |
|
|
0.00% |
0.00% |
$1,000.00 |
|
|
-25.00% |
0.00% |
$1,000.00 |
|
A |
-50.00% |
0.00% |
$1,000.00 |
|
|
-100.00% |
0.00% |
$1,000.00 |
1.5 Year Market-Linked Securities Linked to CIISDA5N
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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Index: |
The Citi Dynamic Asset Selector 5 Excess Return Index (ticker: “CIISDA5N”) |
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Pricing date: |
July 31, 2025 |
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Valuation date: |
February 1, 2027 |
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Maturity date: |
February 4, 2027 |
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Upside participation rate: |
At least 175.00%* |
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CUSIP / ISIN: |
17333LFX8 / US17333LFX82 |
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Initial index level: |
The closing level of the Index on the pricing date |
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Final index level: |
The closing level of the Index on the valuation date |
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Index return: |
(Final index level - initial index level) / initial index level |
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Return amount: |
If the final index level is greater than the initial index level: $1,000 × the index return × the upside participation rate If the final index level is less than or equal to the initial index level: $0 All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. |
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Payment at maturity: |
You will receive at maturity for each security you then hold, the stated principal amount plus the return amount, which will be either zero or positive |
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Stated principal amount: |
$1,000 per security |
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Preliminary pricing supplement: |
Preliminary Pricing Supplement dated July 1, 2025 |
* The actual upside participation rate will be determined on the pricing date.
** The hypotheticals assume that the upside participation rate will be set at the lowest value indicated in this offering summary.
Citigroup Global Markets Holdings Inc.
Guaranteed by Citigroup Inc.
|
Selected Risk Considerations |
|
•You may not receive any return on your investment in the securities. You will receive a positive return on your investment in the securities only if the Index appreciates from the initial index level to the final index level. If the final index level is less than or equal to the initial index level, you will receive only the stated principal amount for each security you hold at maturity. •The securities do not pay interest. •Your payment at maturity depends on the closing level of the Index on a single day. •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. •Sale of the securities prior to maturity may result in a loss of principal. •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 Index is a trend-following index and is subject to the limitations inherent in all trend-following methodologies, including the fact that past performance is no guarantee of future performance. Furthermore, the Index’s trend-following methodology may be unsuccessful even if past trends do prove to be indicative of future performance, because the Trend Signal may not accurately capture the trend or the Index may not change its Selected Portfolio quickly enough in response to changes in the Market Regime. •Each Constituent is a futures-based index and is therefore expected to reflect the implicit cost of a financed position in its Reference Asset. This implicit financing cost will adversely affect the level of each Constituent and cause each Constituent to underperform its Reference Asset. Any increase in market interest rates will be expected to increase this implicit financing cost and will further adversely affect the performance of the Constituents and, therefore, the performance of the Index. •The Index rules limit the exposure the Index may have to the U.S. Equity Futures Constituent and, as a result, the Index is likely to significantly underperform equities in rising equity markets. •The Index will have significant exposure to the U.S. Treasury Futures Constituent, which has limited return potential and significant downside potential, particularly in times of rising interest rates. •The volatility-targeting feature significantly reduces the potential for Index gains. At any time when the Index has less than 100% exposure to the Selected Portfolio, the Index will participate in only a limited degree of the performance of the Selected Portfolio. •The Index’s allocation methodology may not be successful if the U.S. Equity Futures Constituent and the U.S. Treasury Futures Constituent decline at the same time. •The Index may fail to maintain its volatility target. Because there is a time lag inherent in the Index’s volatility targeting feature, the Index may retain significant exposure to the U.S. Equity Futures Constituent long after a period of heightened volatility has begun, which may result in significant Index declines. •The performance of the Index will be reduced by an index fee. •The Index was launched on June 13, 2016 and, therefore, has a limited performance history. •The Index follows fixed rules and will not be actively managed. |
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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 index supplement for a more complete description of risks relating to the securities.
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Key Features of the Index
•Created by Citigroup Global Markets Limited and launched on June 13, 2016.
•Tracks the hypothetical performance of a rules-based investment methodology that, on each Index Business Day, seeks to identify current U.S. equity market conditions as falling within one of four possible “Market Regimes” based on trend and volatility Signals. Depending on the identified Market Regime, Index exposure is allocated to one of three possible hypothetical investment “Portfolios”, each consisting of varying degrees of exposure to the following two “Constituents”:
|
Constituent |
Underlying Futures Contract |
Reference Asset |
|
S&P 500 Futures Excess Return Index (“U.S. Equity Futures Constituent”) |
E-mini S&P 500 Futures |
S&P 500 Index |
|
S&P 10-Year U.S. Treasury Note Futures Excess Return Index (“U.S. Treasury Futures Constituent”) |
10-Year U.S. Treasury Note Futures |
10-Year U.S. Treasury Notes |
•Each Constituent tracks a hypothetical investment, rolled quarterly, in the nearest-to-expiration futures contract on the Reference Asset indicated in the table above.
•The Index relies on backward-looking trend and volatility Signals to determine which Market Regime is currently in effect and, in turn, which Portfolio to track until there is a change in the Market Regime (the Portfolio tracked at any time referred to as the “Selected Portfolio”).
•On each Index Business Day, the Index calculates:
•Trend Signal: The trend of the performance of the U.S. Equity Futures Constituent over a look-back period of 21 Index Business Days (approximately one month), measured by a linear regression methodology. The Trend Signal will be either “upward” or “downward”.
•Volatility Signal: The realized volatility of the U.S. Equity Futures Constituent over a lookback period of 63 Index Business Days (approximately three months).
•The following table indicates the Market Regime that will be identified for each possible combination of Signals and, for each Market Regime, the corresponding Portfolio that will be selected as the Selected Portfolio to be tracked until the next change in Market Regime.
|
Signals |
Market Regime |
Selected Portfolio |
|
Trend Signal: Upward Volatility Signal: ≤ 15% |
Stable-Trending Up |
Equity-Focused Portfolio ⮚U.S. Equity Futures Constituent: 66.66% ⮚U.S. Treasury Futures Constituent: 33.33% |
|
Trend Signal: Upward Volatility Signal: > 15% |
Unstable-Trending Up |
Intermediate Portfolio ⮚U.S. Equity Futures Constituent: 33.33% ⮚U.S. Treasury Futures Constituent: 66.66% |
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Trend Signal: Downward Volatility Signal: ≤ 15% |
Stable-Trending Down |
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Trend Signal: Downward Volatility Signal: > 15% |
Unstable-Trending Down |
Treasury Portfolio ⮚U.S. Equity Futures Constituent: 0.00% ⮚U.S. Treasury Futures Constituent: 100.00% |
•If the Trend Signal fails to meet a test of statistical significance, then a change in Market Regime will not occur and the Selected Portfolio will not change, even if the Signals otherwise call for a change.
•Index fee of 0.85% per annum is deducted daily from Index performance.
•“Volatility target” feature may reduce Index exposure to Selected Portfolio if and as necessary to maintain a 21-day realized volatility ≤ 5%. If the Index exposure to the Selected Portfolio is less than 100%, the difference will be hypothetically allocated to cash (accruing no interest).
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, index 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, index 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. |
FAQ
What is the ticker and structure of the underlying index for C’s Market-Linked Securities?
How is the payment at maturity on Citigroup’s securities calculated?
Do the Citigroup notes pay periodic interest or coupons?
What are the key risk factors highlighted in Citigroup’s Free Writing Prospectus?
When do the Citigroup Market-Linked Securities mature?
