Citigroup Issues Three-Year Callable Contingent Coupon Notes Linked to Worst-Performing Stock Index

Structure and Payment Mechanics of the Contingent Coupon Securities

The securities issued by Citigroup Global Markets Holdings Inc., with full guarantee from parent company Citigroup Inc., offer periodic contingent coupon payments rather than fixed interest. The filing discloses that on each contingent coupon payment date, investors will receive a contingent coupon equal to at least 0.8833% of the stated principal amount—equivalent to an annualized coupon rate of approximately 10.60% per annum—but only if a specific performance threshold is met. The condition for payment is that the closing value of the worst-performing underlying index on the immediately preceding valuation date must be greater than or equal to its coupon barrier value, set at 70.00% of its initial underlying value.

If the worst-performing underlying index falls below the coupon barrier on any valuation date, investors will not receive the contingent coupon payment on the following contingent coupon payment date. This structure creates a situation where investors receive no coupon income for that period, despite holding a security promising yields significantly higher than conventional debt. The filing specifies 38 distinct valuation dates between August 31, 2026, and July 31, 2029, creating multiple opportunities throughout the security's life for contingent coupon payment conditions to either be met or failed.

Downside Risk and Worst-Performing Index Methodology

A critical feature disclosed in the announcement is that investors' returns depend entirely on the worst-performing of three major indices: the Nasdaq-100 Index, Russell 2000 Index, and S&P 500 Index. This worst-performing methodology means that even if two of the three indices perform well, investors receive no benefit if one index declines significantly. At maturity, if the worst-performing underlying's final value is less than its final barrier value (set at 60.00% of its initial underlying value), investors will receive $1,000 plus the underlying return of the worst-performing underlying multiplied by $1,000. This formula can result in receiving substantially less than the principal amount or potentially nothing at maturity.

The filing emphasizes that investors will be negatively affected by adverse movements in any one of the three underlyings, even while having no upside participation in appreciation of any underlying. Additionally, the filing states that investors will not receive dividends with respect to any underlying or participate in any appreciation of any underlying, meaning all performance upside accrues to Citigroup. This asymmetric payoff structure places investors in a position where they capture downside risk across three equity indices while receiving no benefit from index appreciation.

Pricing, Valuation, and Embedded Costs

The securities carry an issue price of $1,000 per security, with an underwriting fee of $7.50 per security, resulting in proceeds to the issuer of $992.50 per security. The filing discloses an estimated valuation figure that is material to understanding the true economics of the offering. Citigroup Global Markets Holdings Inc. states that it currently expects the estimated value of the securities on the pricing date will be at least $928.00 per security, which is less than the $1,000 issue price. This $72 differential—approximately 7.2% of face value—represents an immediate valuation gap between what investors pay and what the securities are estimated to be worth at issuance.

The filing explicitly notes that the estimated value is based on Citigroup Global Markets Inc.'s (CGMI) proprietary pricing models and internal funding rate, and is not an indication of actual profit to CGMI or other affiliates, nor an indication of the price at which CGMI or any other person may be willing to buy the securities from investors after issuance. Additionally, the filing discloses that in addition to the $7.50 underwriting fee, CGMI will pay electronic platform providers $1.50 for each security sold where selected dealers and custodians utilize such providers. The filing also notes that CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines.

Redemption and Call Features

Citigroup retains the right to call the securities for mandatory redemption on any potential redemption date upon providing not less than three business days' notice. The filing specifies 10 potential redemption dates tied to contingent coupon payment dates: February 1, 2027; April 30, 2027; August 2, 2027; November 1, 2027; January 31, 2028; May 1, 2028; July 31, 2028; October 31, 2028; January 31, 2029; and April 30, 2029. This redemption feature is one-sided, allowing the issuer to redeem but not providing investors with a corresponding redemption right.

Upon exercising the call right, investors will receive cash equal to $1,000 plus the related contingent coupon payment, if any. The inclusion of multiple potential redemption dates throughout the security's life means that Citigroup can terminate the investment at times most favorable to itself, particularly if market conditions have moved adversely to the value of the embedded equity option that investors have implicitly sold. The filing does not disclose any circumstances under which redemption would be automatic or mandatory based on security performance.

Credit Risk and Guarantee Structure

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the direct issuer, and Citigroup Inc., which provides an unconditional guarantee. The filing clearly states that "all payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc." This guarantee structure means that investors effectively have credit exposure to the Citigroup consolidated entity, creating concentration risk in a single institution. The securities are described as unsecured debt, meaning investors have no collateral backing and rank with other unsecured creditors in any insolvency scenario.

The filing includes a disclosure warning 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 the Citigroup affiliation. Investors are therefore exposed to the full credit risk of Citigroup should the company face financial distress, coupled with the market risk of the worst-performing index. The filing notes that "investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations."

Liquidity Profile and Market Listing

The filing explicitly discloses that the securities will not be listed on any securities exchange. This absence of exchange listing significantly constrains liquidity, as investors cannot rely on the continuous, transparent pricing available for listed securities. While Citigroup Global Markets Inc., acting as principal underwriter, may provide a secondary market for the securities, the filing does not guarantee ongoing market-making activity or pricing spreads. The estimated value provided at issuance ($928.00 per security) is expressly not indicative of any bid-ask pricing that may be available in the secondary market.

The lack of listing and the complex nature of the contingent coupon structure mean that investors seeking to exit the position prior to maturity may face significant challenges in finding counterparties willing to purchase the securities at reasonable prices. The filing notes that investors must be willing to accept "an investment that may have limited or no liquidity," placing the burden on investors to understand that these securities are designed for holders willing to maintain the position until maturity or redemption.

Valuation Dates and Payment Schedule

The filing specifies 38 distinct valuation dates commencing August 31, 2026, and ending on July 31, 2029 (the final valuation date), with contingent coupon payment dates occurring the third business day after each valuation date. The final contingent coupon payment date coincides with the maturity date of August 3, 2029. The frequency of valuation dates—spanning the period from August 2026 through July 2029—creates multiple checkpoints where the performance of the worst-performing underlying is assessed to determine whether investors receive coupon payments.

The filing notes that each valuation date is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. This provision creates potential uncertainty regarding the exact timing of coupon determination and payment, as market disruptions or scheduled trading closures would necessitate date shifts. The structure requires investors to monitor three equity indices on 38 separate occasions to understand whether they will receive each contractual contingent coupon payment.

Initial Underlying Values and Barrier Levels

The filing specifies that each underlying will have an initial underlying value determined as the closing value on the pricing date (July 31, 2026), though specific index levels are not disclosed in the preliminary pricing supplement. The coupon barrier value for each underlying is fixed at 70.00% of its initial underlying value, while the final barrier value is set at 60.00% of its initial underlying value. These barrier levels create distinct performance thresholds: if the worst-performing underlying falls between 60% and 70% of its initial value, investors lose all contingent coupon payments but receive principal protection; if it falls below 60%, investors face principal loss proportionate to the index decline.

The filing clarifies that the underlying return is calculated as the closing value on any valuation date minus its initial underlying value, divided by its initial underlying value. This calculation methodology means that the initial values established on July 31, 2026, serve as the reference point for all subsequent performance assessments throughout the security's three-year life. The specific index values on the pricing date will be material to determining whether any valuation date results in coupon payment or principal loss, yet these values are not included in the preliminary supplement.

Risk Factors and Comparison to Conventional Debt

The filing emphasizes that investing in these securities involves risks significantly greater than those associated with conventional debt securities of the same maturity. Investors must accept that their actual yield may be lower than the yield on conventional debt despite the approximately 10.60% annualized coupon rate, because contingent coupon payments may not be received in one or more periods, or at all. The filing also stresses 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," a categorical risk statement indicating that total loss of principal is within the realm of possible outcomes.

The filing notes that each of these risks depends solely on the performance of the worst-performing of the three underlyings, creating a single point of failure regardless of how the other two indices perform. This risk concentration is highlighted in the disclosure that investors "will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in any one of the underlyings." The summary risk factors section referenced as beginning on page PS-6 of the pricing supplement indicates that the preliminary supplement contains additional detailed risk disclosures beyond those highlighted in the key terms.

Registration and Regulatory Status

The filing is submitted pursuant to Rule 424(b)(2) under the Securities Act and indicates that a registration statement relating to these securities has been filed with the Securities and Exchange Commission. The filing references Registration Statement Nos. 333-293732 and 333-293732-02, indicating that the offering occurs within an established registration framework. The preliminary pricing supplement is accompanied by product supplement, underlying supplement, prospectus supplement, and prospectus documents that investors must review to obtain complete information regarding the securities.

The filing includes a standard SEC disclaimer stating that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that the pricing supplement and accompanying documents are truthful or complete. The filing is dated July 28, 2026, as "subject to completion," indicating that pricing and final terms will be established on or after the pricing date of July 31, 2026. The issue date is scheduled for August 5, 2026, providing a window during which final pricing will occur and the preliminary terms may be adjusted.