花旗集团美股招股说明书(2025-06-02版)

specified below. However, if the Index remains the same or depreciates, you will be repaid the stated principal amount of your securities at maturity but will not receive any return on yourinvestment. The securities are designed for investors who are willing to forgo interest on the securities and accept the risk of not receiving any return on the securities in exchange for thepossibility of a positive return at maturity based on the performance of the Index. Even if the Index appreciates from the initial index level to the final index level, so that you do receive a positive return at maturity, there is no assurance that your total return at maturity on the securities will compensate you for the effects of inflation or be as great as the yield you could haveIn order to obtain the exposure to the Index that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of notreceiving any amount due under the securities if we and Citigroup Inc. default on our obligations.All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.The Citi Dynamic Asset Selector 5 Excess Return Index (ticker symbol: “CIISDA5N”)Aggregate stated principal$ Pricing date:June 30, 2025Issue date:July 3, 2025. See “Supplemental Plan of Distribution” in this pricing supplement for additional information.Valuation date:December 30, 2026, subject to postponement if such date is not an index business dayMaturity date:January 5, 2027 $0Initial index level:, the closing level of the Index on the pricing date identified Market Regime, Index exposure is allocated to one of three possible hypothetical investment “Portfolios”, each consisting of varyingdegrees of exposure to the following two “Constituents”: The Index relies on backward-looking trend and volatility Signals to determine which Market Regime is currently in effect and, in turn, whichPortfolio to track until there is a change in the Market Regime (the Portfolio tracked at any time being referred to as the “Selected Portfolio” atthat time).On each Index Business Day, the Index calculates: ●The trend of the performance of the U.S. Equity Futures Constituent over a look-back period of 21 Index Business Days, measured by thelinear regression methodology described in the accompanyingindex supplement(the “Trend Signal”). The Trend Signal will be either“upward” or “downward”. ⮚U.S. Treasury Futures Constituent:66.66%Stable-Trending Down Once a Selected Portfolio has been selected, the Index will continue to have exposure to that Selected Portfolio until the Signals indicate that therehas been a change in the Market Regime, at which point the Index exposure will be allocated to a different Selected Portfolio.However, if the Trend Signal fails to meet a test of statistical significance, then a change in the Market Regime will not occur and the Selected Portfolio will notchange even if the Signals would otherwise call for a change.This test of statistical significance is described in more detail in the accompanyingindex supplement.The Index includes a volatility-targeting feature, pursuant to which the Index may reduce its exposure to the Selected Portfolio if necessary in anattempt to maintain a volatility target of 5%.On any Index Business Day, if the realized volatility of the current Selected Portfolio was greater than This section contains only a summary description of the Index and does not describe all of its important features in detail. Before investing in thesecurities, you should carefully review the more detailed description of the Index contained in the section “Description of the Citi Dynamic AssetSelector 5 Excess Return Index” in the accompanyingindex supplement.The Index is subject to important risks, including the following:●The Index is a trend-following index and is subject to the limitations inherent in all trend-following methodologies, including the fact that pastperformance is no guarantee of future performance.Furthermore, the Index’s trend-following methodology may be unsuccessful even if ●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 tosignificantly 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 Payout DiagramThe diagram below illustrates your payment at maturity for a range of hypothetical index returns. Citigroup Global Markets Holdings Inc. Hypothetical ExamplesThe examples below illustrate how to determine the payment at maturity on the securities, assuming the various hypothetical final index levelsindicated below. The examples are solely for illustrative purposes, do not show all possible outcomes and