Citigroup Issues Autocallable Equity-Linked Securities Linked to Bank and Semiconductor Indices

Structural Overview and Contingent Coupon Mechanics

The securities issued by Citigroup Global Markets Holdings Inc. represent a structured debt offering that combines elements of conventional fixed-income securities with equity-linked features. The instruments are unsecured debt securities fully guaranteed by Citigroup Inc., and they mature on August 1, 2029, unless automatically redeemed earlier. Investors purchasing these securities will be exposed to the performance of two underlyings: the EURO STOXX Banks Index and the VanEck Semiconductor ETF, with the worst performing of the two determining all payments and early redemption possibilities.

The contingent coupon payment structure requires that on each of thirteen valuation dates—scheduled quarterly and semi-annually through July 27, 2029—the closing value of the worst performing underlying must remain at or above its coupon barrier to trigger a payment. The coupon barrier is set at 55% of each underlying's initial closing value on the July 27, 2026 pricing date. If this threshold is breached by either underlying, no contingent coupon payment occurs on the following payment date. The contingent coupon itself equals at least 4.4125% of the $1,000 stated principal amount per valuation date, which translates to an annualized rate of at least 17.65% if all coupon payments are received.

Principal Risk and Final Valuation Outcomes

At maturity on August 1, 2029, investors face two distinct payment scenarios depending on the final underlying value of the worst performing underlying on the final valuation date of July 27, 2029. If the worst performing underlying closes at or above its final barrier value—again set at 55% of its initial value—investors receive their full $1,000 stated principal amount. However, if the final underlying value falls below this 55% barrier, investors receive only $1,000 plus a loss equal to the percentage decline of the worst performing underlying applied to the principal amount.

This structure creates significant downside exposure. The filing discloses that investors could receive substantially less than their initial principal, and potentially nothing at maturity, if the worst performing underlying declines sharply. The disclosure notes that investors will have downside exposure to each underlying but will not participate in any appreciation or receive dividends from the underlyings, creating an asymmetrical risk-return profile. This asymmetry reflects the trade-off between receiving enhanced contingent coupon payments and accepting principal risk concentrated in the single worst-performing index or ETF.

Automatic Early Redemption Feature and Return Limitations

A significant feature of these securities is the automatic early redemption provision, which can substantially constrain the total return potential for investors. The filing states that if on any potential autocall date the closing value of the worst performing underlying is greater than or equal to its initial underlying value on the pricing date, each security held will be automatically called for redemption on the immediately following contingent coupon payment date. At that redemption, investors receive $1,000 in cash plus the related contingent coupon payment for that period.

The disclosure explicitly warns that this automatic early redemption feature may significantly limit potential return. The filing explains that if the worst performing underlying performs favorably enough to reach its initial value, the securities will likely be called, cutting short the investor's opportunity to receive additional contingent coupon payments over the remaining term. Given that thirteen valuation dates are scheduled through maturity, early redemption on any of these dates would prevent investors from collecting the remaining contingent coupon payments. This dynamic means that favorable market performance—rather than benefiting investors—may trigger early redemption and prevent them from capturing the full value of the enhanced coupon rate.

Pricing, Valuation, and Underwriting Economics

The securities are priced at $1,000 per security with an underwriting fee of up to $23.50 per security, resulting in net proceeds to the issuer of $976.50 per security. The filing discloses that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date to be at least $906.50 per security, which is substantially less than the issue price of $1,000. This represents an immediate embedded loss of at least $93.50 per security, or approximately 9.35% of the purchase price. The filing clarifies that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate, and is not an indication of actual profit or a commitment to repurchase at any specific price.

The filing states that in addition to the underwriting fee, Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines. This disclosure indicates that the underwriter will likely undertake derivative transactions to hedge its market exposure from issuing these equity-linked securities, potentially generating profit from these hedging activities independent of the secondary market performance of the notes themselves. Investors purchasing through fee-based advisory accounts receive a different pricing structure, with an issue price of $976.50 per security rather than $1,000.

Dual Underlying Index and ETF Selection

The choice of two underlyings—the EURO STOXX Banks Index and the VanEck Semiconductor ETF—creates specific geographic and sectoral exposures for investors. The EURO STOXX Banks Index provides exposure to major European banking institutions, while the VanEck Semiconductor ETF delivers exposure to the global semiconductor industry through an exchange-traded fund structure. By linking the securities to the worst performing of these two underlyings, Citigroup has created an instrument where investor outcomes depend entirely on the weaker of these two distinct market segments.

The filing indicates that investors will be subject to risks associated with each underlying and will be negatively affected by adverse movements in any one of the underlyings. This dual-underlying structure means that even if one index or ETF performs well, the securities' behavior will be determined by whichever performs worst. The correlation between European banking stocks and semiconductor equities may vary significantly over the three-year period to maturity, creating complexity in assessing the instrument's true risk profile. Investors lose access to potential upside participation in either underlying regardless of performance level.

Valuation Dates and Coupon Payment Timing

The securities feature thirteen valuation dates extending through July 27, 2029, with contingent coupon payments scheduled for the third business day after each valuation date. These dates are October 30, 2026; February 1, 2027; April 30, 2027; July 30, 2027; November 1, 2027; January 31, 2028; May 2, 2028; July 31, 2028; October 30, 2028; January 30, 2029; April 30, 2029; and July 27, 2029. The final valuation date of July 27, 2029, coincides with the contingent coupon payment date that occurs at maturity.

The filing notes that all valuation dates are subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. This provision means that actual payment dates may shift depending on market holidays or exceptional circumstances. The staggered valuation schedule creates multiple decision points throughout the holding period where investors' coupon eligibility is reassessed based on the worst performing underlying's barrier compliance, and where potential automatic early redemption could occur if the worst performing underlying returns to its initial value level.

Credit Risk and Guarantee Structure

All payments due on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the issuer, and Citigroup Inc., which provides a full and unconditional guarantee. The filing emphasizes that investors will be subject to the risk of not receiving any payments if both the issuer and guarantor default on their obligations. As these are unsecured debt securities, investors hold no collateral or priority claim on assets. The guarantee by the parent company provides an additional layer of credit protection, but does not eliminate the fundamental counterparty risk associated with instruments issued by a large financial institution.

The filing explicitly states that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank. This language clarifies that despite being issued by a subsidiary of a major bank holding company, the instruments lack FDIC insurance protection. Investors are making a credit decision about Citigroup Inc.'s ability to honor its guarantee and Citigroup Global Markets Holdings Inc.'s capacity to make all payments as scheduled.

Liquidity Constraints and Market Listing Status

The filing discloses that the securities will not be listed on any securities exchange, creating significant liquidity constraints for investors. Potential secondary market trading would be limited to the fixed income markets served by Citigroup Global Markets Inc. and other dealers, if such dealers are willing to make a market. The absence of exchange listing means investors cannot rely on transparent, continuous pricing or easy access to buyers during the three-year holding period. Any attempt to liquidate holdings before maturity would be subject to dealer discretion and potentially wide bid-ask spreads reflecting the limited market for this specific structured product.

The filing identifies that investors must be willing to accept an investment that may have limited or no liquidity and emphasizes this as a material risk factor. This illiquidity creates a potential mismatch between investors' actual liquidity needs and their ability to exit the position. For investors who face unexpected financial circumstances, emergency capital needs, or changing market views, the lack of a transparent secondary market could force either acceptance of unfavorable pricing terms or retention of the securities to maturity despite changed circumstances.

Issue Timeline and Prospectus Documentation

The securities were priced on July 27, 2026, and are scheduled to be issued on July 30, 2026, establishing the pricing date as the baseline for calculating initial underlying values and all barrier levels. This three-day settlement period is standard for structured debt products. The offering is governed by registration statement numbers 333-293732 and 333-293732-02, filed with the Securities and Exchange Commission pursuant to Rule 424(b)(2).

The filing references accompanying product supplement, underlying supplement, prospectus supplement, and prospectus documents dated February 25, 2026, which provide additional technical detail on the securities' features, the underlyings' composition and calculation methodologies, and standard prospectus risk disclosures. These ancillary documents form part of the complete offering disclosure package. The filing carries a notation that it is preliminary and subject to completion, indicating that final terms and pricing details may be subject to minor adjustment before official launch.