Citigroup Global Markets Holdings Inc. has announced pricing for Medium-Term Senior Notes offering callable contingent coupon equity-linked securities tied to the performance of the Nasdaq-100 Index and Russell 2000 Index, with a maturity date of July 31, 2031. The securities feature an estimated contingent coupon rate of approximately 11.45% per annum, provided the worst-performing underlying remains above a 70% barrier level on each valuation date. Investors face significant downside risk, as the principal repayment at maturity depends entirely on whether the worst-performing index exceeds a 60% final barrier, potentially resulting in losses substantially below the $1,000 stated principal amount.

Key Points

  • NYSE: C-PR — Citigroup Global Markets Holdings Inc. is issuing the securities with a full guarantee from parent company Citigroup Inc.
  • Pricing supplement filed July 17, 2026, for securities priced on July 27, 2026, with an issue date of July 30, 2026.
  • Contingent coupon payments equal to approximately 11.45% per annum are conditional on the worst-performing underlying remaining at or above 70% of its initial value on each of 60 scheduled valuation dates through July 2031.
  • Principal repayment at maturity is capped at $1,000 if the worst-performing index closes at or above 60% of its initial value; below that level, investors receive principal plus the underlying return, which could result in total loss of capital.

Structure and Underlying Performance Mechanics

The securities are designed to track the worst-performing of two major equity indices: the Nasdaq-100 Index and the Russell 2000 Index. Investors will experience downside exposure to whichever index performs more poorly, while receiving no dividend distributions or capital appreciation from either underlying. This asymmetric structure means that adverse movement in even one index directly and negatively affects the securities' performance. The initial underlying value for each index is established at closing on the pricing date of July 27, 2026, and this baseline determines all subsequent barrier levels and return calculations throughout the security's five-year life.

The valuation framework incorporates two critical barrier thresholds: a coupon barrier set at 70% of the initial underlying value and a final barrier set at 60% of the initial underlying value. These thresholds are applied separately to each underlying index, with investors continuously exposed to whichever index performs worst on any given valuation date. The filing states that valuation occurs monthly across approximately 60 scheduled dates, with contingent coupon payments triggered only when the worst-performing underlying remains above the 70% coupon barrier at each respective valuation date. This monthly observation schedule creates multiple touch points where negative index performance can eliminate contingent coupon payments for that period.

Contingent Coupon Payment Terms and Conditions

The securities offer contingent coupon payments at an approximate annualized rate of 11.45%, equivalent to approximately 0.9542% of stated principal per payment date. However, investors receive these payments only if the worst-performing underlying closes at or above its coupon barrier value (70% of initial value) on the immediately preceding valuation date. The announcement emphasizes that if the worst-performing underlying falls below this 70% barrier on any valuation date, no contingent coupon payment is made on the following payment date. This condition creates a potential scenario where investors could receive no contingent coupon payments at any point during the security's life if either index depreciates below the 70% threshold early and remains below it throughout the holding period.

The disclosure indicates that contingent coupon payments are made on the third business day following each valuation date, except for the final payment, which coincides with the maturity date of July 31, 2031. With 60 scheduled valuation dates spanning from August 27, 2026, through July 28, 2031, the potential exists for multiple failed coupon payments if market conditions deteriorate. The announcement specifies that valuation dates are subject to postponement if the date falls on a non-trading day or if certain market disruption events occur, creating additional uncertainty around the precise timing and frequency of actual coupon determinations.

Principal Repayment at Maturity and Downside Risk Profile

The maturity payment structure creates a binary outcome with significant downside consequences. If the final underlying value of the worst-performing index on the final valuation date (July 28, 2031) is greater than or equal to its final barrier value (60% of initial value), investors receive the full $1,000 stated principal amount. However, if the worst-performing underlying closes below the 60% final barrier, investors receive $1,000 plus the underlying return calculation for that index, which could result in substantially reduced principal repayment or total loss. The announcement explicitly warns that investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity" if the worst-performing index falls below the 60% barrier.

This structure means that for an index to fall 40% from its initial value, investors would have lost all principal recovery beyond recovery of the embedded index loss. The announcement emphasizes that upon such downside scenarios, investors also forfeit the final contingent coupon payment, compounding losses by eliminating the expected periodic income stream entirely. The disclosure notes that these securities represent an investment vehicle in which the actual yield may be substantially lower than conventional debt securities of the same maturity due to the complete elimination of contingent coupon payments if barrier conditions are not met.

Redemption Rights and Call Features

Citigroup Global Markets Holdings Inc. retains the right to call the securities for mandatory redemption on any potential redemption date, which includes the contingent coupon payment dates associated with valuation dates scheduled for January 27, 2027, and several subsequent dates through the announcement cutoff. The company must provide not less than three business days' notice prior to exercising the call right. Upon redemption, investors receive cash equal to $1,000 plus any related contingent coupon payment, if applicable, on that redemption date. This early redemption feature transfers reinvestment risk to investors and removes the possibility of benefiting from extended upside participation if either underlying index appreciates significantly after redemption.

The redemption terms favor the issuer by preserving the ability to terminate the investment if interest rate environments shift or if hedging costs increase unexpectedly. Investors have no equivalent put right or early exit option, meaning they face potential forced redemption with a fixed $1,000 recovery (plus any pending coupon) while accepting the full downside risk of index depreciation through maturity if redemption is not exercised. The filing does not disclose whether redemption decisions will be guided by any specific triggers or valuation thresholds beyond Citigroup's discretionary right to call.

Issuance Terms and Pricing Structure

The securities are issued at $1,000 per security, with Citigroup Global Markets Inc. receiving an underwriting fee of $3.00 per security, resulting in net proceeds to the issuer of $997.00 per security. The announcement states that Citigroup Global Markets Holdings Inc. estimates the securities will have a value of at least $935.00 per security on the pricing date, representing a $65.00 discount to the issue price. This estimated value is derived from the company's proprietary pricing models and internal funding rate and serves as a preliminary indication only, not as a guarantee of actual market value or future resale ability.

The pricing supplement was filed on July 17, 2026, dated as preliminary, with the pricing date scheduled for July 27, 2026, and the issue date for July 30, 2026. The announcement notes that the actual total underwriting fee and proceeds to issuer remain subject to variable determination, and that the per-security proceeds indicated represent minimum proceeds assuming maximum underwriting fees. Additionally, the disclosure reveals that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to the offering even if the value of the securities declines after issuance, creating a potential conflict of interest between investor returns and affiliate hedging economics.

Guarantee and Credit Risk Considerations

All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of Citigroup Global Markets Holdings Inc. This guarantee extends to all contingent coupon payments, principal repayment, and any redemption payments. However, the announcement explicitly states that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." This language indicates that while the parent company provides a guarantee, investors nevertheless carry credit exposure to both entities and face the risk of non-payment if either organization defaults on its obligations. The securities are not bank deposits and carry no Federal Deposit Insurance Corporation insurance or protection.

The guarantee structure provides one layer of credit protection beyond the issuer itself, yet the announcement emphasizes that investors must be willing to accept the risk of not receiving any payments if Citigroup Inc. or its subsidiary defaults. The disclosure does not provide details regarding Citigroup's credit ratings, recent credit events, or the capital structure subordination that these medium-term senior notes may occupy relative to other corporate obligations. Investors relying on the guarantee must assess the long-term credit stability of Citigroup Inc. as a prerequisite to evaluating the investment.

Liquidity Limitations and Market Availability

The announcement specifies that the securities will not be listed on any securities exchange, creating significant liquidity constraints for investors seeking to exit positions prior to maturity. The disclosure states that investors must be willing to accept an investment that "may have limited or no liquidity" and warns that no secondary market may develop for these instruments. This lack of exchange listing means that any attempt to sell the securities before July 31, 2031, would depend entirely on Citigroup's willingness to repurchase and the terms it would offer, which may be substantially adverse to the holder.

The absence of exchange trading also prevents price discovery through transparent market mechanisms and leaves valuation between issue price and maturity dependent on Citigroup's internal models and negotiating position. The announcement does not disclose whether Citigroup Global Markets Inc. intends to maintain a secondary market or offer bid-ask prices for holders wishing to exit early. This liquidity limitation creates significant opportunity cost, as investors cannot readily redeploy capital if market conditions or individual circumstances change during the five-year holding period.

Valuation Methodology and Estimated Value Discount

The pricing supplement states that Citigroup Global Markets Holdings Inc. estimates the securities will have a value of at least $935.00 per security on the pricing date, representing a $65.00 discount to the $1,000 issue price. The announcement clarifies that this estimated value is based on the company's proprietary pricing models and internal funding rate and constitutes "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 disclaimer signals that the $935.00 estimate reflects the company's internal valuation only and carries no binding commitment regarding market value, secondary trading, or future pricing.

The $65.00 initial valuation discount, combined with the $3.00 underwriting fee, implies that investors begin with approximately $68.00 per security in economic value loss before any market exposure is realized. This embedded cost structure reflects the pricing of the contingent coupon optionality, the downside barrier protection embedded in the final barrier calculation, and the issuer's profit margin on the offering. The disclosure does not explain the specific model assumptions or the sensitivity of valuation to changes in volatility, interest rates, or dividend assumptions for the underlying indices, limiting transparency into the reasonableness of the estimated value relative to investor expectations.

Index Composition and Underlying Exposure

The securities are linked to the performance of the Nasdaq-100 Index and the Russell 2000 Index, two widely recognized but fundamentally different equity benchmarks. The Nasdaq-100 Index comprises the 100 largest non-financial companies listed on the NASDAQ exchange, with significant exposure to technology, consumer, and growth sectors. The Russell 2000 Index encompasses 2,000 smaller capitalization companies, providing exposure to small-cap and mid-cap segments of the equity market with different economic sensitivities, liquidity characteristics, and volatility profiles compared to large-cap technology stocks.

By linking the securities to the worst-performing index, the structure creates inherent asymmetry against investors, as they capture downside from whichever index underperforms without receiving upside participation from either index. The announcement does not disclose the historical correlation between these two indices, volatility characteristics, dividend yields, or sector composition details that would allow investors to assess the probability of significant index depreciation or understand the macroeconomic scenarios most likely to trigger barrier breaches. Investors must accept exposure to the joint worst-case performance of two distinct equity market segments without any offsetting participation in positive returns.

Regulatory Status and Investment Considerations for Investors

The pricing supplement is filed pursuant to Securities and Exchange Commission Rule 424(b)(2) and relates to Registration Statement Nos. 333-293732 and 333-293732-02. The announcement is dated as preliminary, meaning the specific terms and pricing may be subject to adjustment prior to the final pricing date of July 27, 2026. The disclosure states that a registration statement relating to these securities has been filed with the Securities and Exchange Commission and that neither the SEC nor any state securities commission has approved or disapproved of the securities or determined that the offering documents are truthful or complete.

The announcement emphasizes that investors should read the pricing supplement in conjunction with the accompanying product supplement, underlying supplement, prospectus supplement, and prospectus to obtain complete information regarding the securities, risks, and terms. The invitation to review multiple documents reflects the complexity of the structured product and the extensive risk factors associated with equity-linked contingent coupon securities. Prospective investors are cautioned that investing in these securities involves risks not associated with conventional debt securities and should carefully evaluate their risk tolerance, investment objectives, and financial position before participating in the offering.