Citigroup Issues Callable Equity-Linked Notes Tied to Three Major Index ETFs Through 2029

Security Structure and Contingent Coupon Terms

The disclosure reveals that Citigroup Global Markets Holdings Inc. issued unsecured debt securities guaranteed by Citigroup Inc., structured to provide periodic contingent coupon payments with exposure to three major equity index ETFs. The three underlying securities are the Invesco QQQ Trust Series 1, the iShares Russell 2000 ETF, and the State Street SPDR S&P 500 ETF Trust. The filing specifies that investors receive contingent coupon payments only if the worst-performing underlying closes at or above 75% of its initial value on each valuation date. The contingent coupon rate is set at a minimum of 1.0375% per valuation date, translating to an annualized rate of at least 12.45%, to be determined on the pricing date of July 23, 2026.

A total of 38 valuation dates are scheduled between August 28, 2026, and July 30, 2029. Contingent coupon payments are due on the third business day after each valuation date, except the final coupon payment which occurs on the maturity date. The structure means investors face binary coupon outcomes: they receive the specified payment if the worst-performing ETF remains sufficiently strong, or receive no coupon if it falls below the threshold. This design effectively locks investor yield into performance of the single weakest-performing index among the three tracked securities.

Downside Risk and Principal Recovery at Maturity

The disclosure indicates that investors face significant downside protection loss at maturity if the worst-performing underlying falls below its final barrier value of 60% of initial value. If the final underlying value of the worst performer closes at or above the 60% barrier on the final valuation date (July 30, 2029), investors receive the full $1,000 stated principal. However, if the closing value falls below this threshold, investors receive only $1,000 plus the underlying return of the worst-performing security on that date, which the filing explicitly states could result in "significantly less than the stated principal amount" or "possibly nothing."

This structure creates an asymmetric payoff: investors have full downside exposure to the worst performer once any of the three underlying ETFs declines more than 40% from its initial value, yet do not participate in any appreciation or receive any dividends from the underlying securities. The filing emphasizes that investors will be "negatively affected by adverse movements in any one of the underlyings," meaning weakness in even a single index—such as the technology-heavy QQQ or small-cap Russell 2000—can eliminate potential gains and reduce principal recovery.

Redemption Rights and Issuer Call Provisions

Citigroup retains the right to call these securities for mandatory redemption on any of 21 potential redemption dates specified in the disclosure, beginning January 28, 2027, and continuing quarterly thereafter through October 30, 2028. The company must provide not less than three business days' notice prior to exercising the call option. Upon redemption, investors receive $1,000 in cash plus any related contingent coupon payment due on that date. This call feature gives Citigroup the ability to exit the position if market conditions become unfavorable, potentially limiting upside for investors if the worst-performing underlying unexpectedly strengthens.

The filing does not specify whether the issuer has disclosed any intention or likelihood to exercise call rights at particular times or under specific market conditions. However, the design permits Citigroup to manage its exposure and potential liabilities by terminating the securities early if conditions warrant. Investors should note that early redemption means they do not receive the full contingent coupon stream to maturity and lose further participation in any potential recovery of the underlyings.

Valuation and Estimated Fair Value Discount

The disclosure reveals that Citigroup Global Markets Holdings Inc. expects the estimated value of the securities on the pricing date will be at least $936.00 per security—a discount of $64.00 or approximately 6.4% below the $1,000 issue 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 to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance."

This valuation framework illustrates the embedded costs and risk premiums built into the securities at issuance. The pricing suggests that compensation for the contingent coupon structure, call feature, and index-linked downside risk is reflected in the immediate markdown from par value. Investors should recognize that the estimated fair value represents only a snapshot on the pricing date and does not provide guidance on secondary market prices or what holders might receive if forced to sell before maturity.

Underwriting Fees and Net Proceeds to Issuer

The filing specifies that Citigroup Global Markets Inc., acting as principal underwriter and an affiliate of the issuer, receives an underwriting fee of up to $6.00 per security sold in the offering. At a $1,000 per-security issue price, this translates to a 0.6% underwriting fee. Net proceeds to the issuer are listed at $994.00 per security, assuming the maximum per-security underwriting fee. The disclosure notes that the total underwriting fee and proceeds are variable based on actual distribution results, though no revised fee amounts are disclosed in this preliminary pricing supplement.

Beyond the underwriting fee, the filing discloses that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to this offering, independent of whether the value of the securities themselves declines. This hedging profit potential represents an additional revenue stream for the issuer's affiliates and further illustrates the complexity and embedded costs in structured products of this design. Investors should understand that Citigroup benefits from this offering through multiple channels beyond the stated underwriting fee.

Liquidity and Secondary Market Considerations

The disclosure explicitly states that the securities will not be listed on any securities exchange, indicating no standardized trading venue or transparent pricing mechanism for secondary market transactions. Investors are warned that they must accept "an investment that may have limited or no liquidity" and risk being unable to sell or transfer the securities except through direct negotiation with potential buyers, likely at significant discounts to estimated value. This illiquidity constraint is particularly concerning for longer-term holders who may face adverse market conditions and wish to exit before maturity.

The absence of exchange listing combined with the structured nature of the securities means that finding a willing buyer and establishing a fair price outside of Citigroup's internal trading desk may prove extremely difficult. The filing does not disclose whether Citigroup or its affiliates intend to make secondary markets in these securities or honor any bid-ask pricing framework. This lack of liquidity represents a material constraint on investors' flexibility and may result in forced retention until maturity or redemption.

Credit Risk and Guarantee Structure

All payments on the securities are fully and unconditionally guaranteed by Citigroup Inc., with the securities issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary. The disclosure emphasizes that investors face "the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations." This means the credit quality of these notes is entirely dependent on Citigroup Inc.'s creditworthiness and ability to satisfy all coupon and principal obligations through the maturity date of August 2, 2029.

The filing also 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," despite Citigroup's status as a major financial institution. Investors should recognize that while Citigroup Inc.'s guarantee provides recourse, it does not constitute FDIC insurance or any government backing and depends entirely on Citigroup's continued financial stability and willingness to honor its obligations.

Index Concentration and Diversification Limitations

The structure of tracking the worst-performing underlying creates unique concentration risk that differs materially from traditional diversified bond portfolios. Although the note is linked to three separate indices—the technology-focused Invesco QQQ Trust, the small-cap Russell 2000, and the large-cap S&P 500—the "worst performer" design means investors essentially have unidirectional exposure to whichever index declines most sharply. This structure negates traditional diversification benefits that might be found in holding a balanced mix of index trackers, as strength in two indices does not offset weakness in the third.

The filing does not disclose historical correlation data, volatility metrics, or performance scenarios illustrating how the three underlyings have moved relative to each other during various market cycles. Investors evaluating these securities should conduct independent analysis of how the QQQ, Russell 2000, and S&P 500 have performed in isolation and in relation to each other during market stress periods, recessions, and growth cycles to understand the true probability of coupon payment disruption and principal loss at maturity.

Risk Factors and Investor Suitability Considerations

The disclosure lists multiple risk factors, including that investors' "actual yield may be lower than the yield on our conventional debt securities of the same maturity because you may not receive one or more, or any, contingent coupon payments" and that "the value of what you receive at maturity may be significantly less than the stated principal amount of your securities, and may be zero." These risks depend "solely on the performance of the worst performing of the underlyings specified," meaning no diversification of index risk is possible within the security design. The filing explicitly states that this security structure involves "risks not associated with an investment in conventional debt securities."

The disclosure is categorized as preliminary and subject to completion, meaning final terms, pricing details, and possibly material revisions may be disclosed in a final pricing supplement dated after July 21, 2026. Investors should await the final pricing supplement to confirm all terms, including the specific initial underlying values for each ETF, final coupon rates, and any material changes to the structure. The filing cautions that this document "is not an offer to sell these securities, nor are they soliciting an offer to buy these securities, in any state where the offer or sale is not permitted."

Regulatory and Compliance Framework

The securities are issued pursuant to Registration Statement Nos. 333-293732 and 333-293732-02 filed with the Securities and Exchange Commission, with this pricing supplement filed under Rule 424(b)(2). The disclosure references accompanying product supplement, underlying supplement, prospectus supplement, and prospectus documents available via hyperlinks, all dated February 25, 2026, or more recently. Investors must review all accompanying documentation to fully understand the securities' terms, conditions, and risks before making an investment decision.

The SEC has not approved or disapproved these securities, as stated in the standard regulatory disclaimer included in the disclosure. The Securities and Exchange Commission determination does not imply any judgment regarding the truthfulness or completeness of the offering documents. Investors are responsible for independently evaluating the securities and their suitability within their broader investment strategy and risk tolerance, consulting with qualified financial and tax advisors as appropriate for their individual circumstances.