Citigroup Launches Trigger Callable Yield Notes Linked to Russell 2000 and S&P 500 Indices

Structure and Key Terms of the Trigger Callable Notes

The Trigger Callable Yield Notes represent unsecured, unsubordinated debt obligations issued by Citigroup Global Markets Holdings Inc., with full and unconditional guarantee from parent company Citigroup Inc. According to the filing, the notes are linked to the performance of the least performing of two major equity indices: the Russell 2000 Index and the S&P 500 Index. The trade date is specified as July 29, 2026, with settlement on July 31, 2026, and maturity scheduled for October 29, 2027—approximately 15 months from issuance.

The offering requires a minimum investment of 100 notes at an issue price of $10.00 per note. The coupon rate will be determined on the trade date and is expected to range from 9.75% to 10.35% per annum, payable monthly beginning August 31, 2026. The disclosure states that investors will receive coupon payments on each monthly coupon payment date regardless of the performance of either underlying, unless the notes have been called by the issuer. This consistent income stream during the holding period represents a distinguishing feature from conventional equity-linked notes.

Issuer Call Rights and Investor Exposure

A central feature of these notes is the issuer's unilateral right to call the instruments prior to maturity. Beginning approximately three months after issuance, Citigroup Global Markets Holdings Inc. may, in its sole discretion, call the notes in whole (but not in part) on any coupon payment date prior to the maturity date. Upon call, investors would receive the stated principal amount per note plus any coupon otherwise due on the call date, and no further amounts would be owed. This structure gives the issuer significant optionality to manage its liability exposure based on market conditions.

The filing emphasizes that if notes are not called by the issuer, investors face full downside market exposure to the least performing underlying at maturity. This asymmetric risk profile means that investors benefit only from the monthly coupon payments and the contingent return of principal at maturity if certain conditions are met. The call feature provides no benefit to noteholders—it exists purely for the issuer's advantage, allowing early redemption when economic conditions favor the issuer but potentially against the interests of investors holding the notes.

Downside Threshold and Principal Loss Mechanism

The notes feature a downside threshold set at 70% of the applicable initial underlying level for each index. This threshold represents a critical determinant of investors' principal repayment at maturity. The filing specifies that if the notes have not been previously called and the final underlying level of the least performing underlying is greater than or equal to its downside threshold, investors will receive the stated principal amount at maturity plus any coupon otherwise due. However, this protection applies only under this specific scenario.

If the least performing underlying falls below its 70% downside threshold by the final valuation date (October 27, 2027), investors will receive an amount less than the stated principal amount of their notes, in addition to the final coupon payment. The disclosure states that this loss will be proportionate to the decline in the closing level of the least performing underlying from the trade date to the final valuation date, with the potential for up to a 100% loss of the investor's entire initial investment. This contingent loss mechanism transforms what appears to be a debt instrument into an instrument with significant equity-like downside risk.

Risk of Total Loss and Credit Risk Considerations

The filing contains prominent warnings regarding the substantial risks associated with these notes. The preliminary pricing supplement includes a notice to investors stating that the notes are "significantly riskier than conventional debt instruments" and that "the issuer is not necessarily obligated to repay the stated principal amount of the notes at maturity." Investors are informed that the notes "can have downside market risk similar to the least performing underlying," in addition to the credit risk inherent in purchasing a debt obligation of Citigroup Global Markets Holdings Inc. guaranteed by Citigroup Inc.

Beyond market risk tied to the indices, investors face credit risk from both the issuer and guarantor. The disclosure explicitly states that any payment on the notes, including repayment of the stated principal amount, is subject to the creditworthiness of the issuer and the guarantor and is not, either directly or indirectly, an obligation of any third party. If Citigroup Global Markets Holdings Inc. and Citigroup Inc. were to default on their payment obligations, investors may not receive any amounts owed and could lose their entire investment. This dual credit risk exposure underscores the structural complexity of structured notes.

Asymmetric Payoff and Index Selection Impact

A critical feature of these notes is that the final payment at maturity depends solely on the performance of the least performing underlying. The filing states explicitly that investors "will not benefit in any way from the performance of the better performing underlyings." This design creates a significant disadvantage for noteholders, as they receive downside exposure from whichever index performs worse, regardless of the performance of the other index. The disclosure warns that investors "will be adversely affected if either underlying performs poorly, regardless of the performance of the other underlyings."

In practical terms, this means that even if the Russell 2000 Index rallies substantially, investors would receive no benefit from that appreciation if the S&P 500 Index declines below its downside threshold. Similarly, if the S&P 500 surges while the Russell 2000 falls sharply, investors' returns are determined entirely by the Russell 2000's performance. This "worst of" structure systematically disadvantages noteholders relative to owning either index directly or a conventional equity-linked note tied to a single index.

No Dividends or Index Participation

The disclosure notes that investors will not receive dividends or other distributions paid on any stocks included in the underlyings and will not participate in any appreciation of either underlying beyond the binary outcome at maturity. This is a standard feature of equity-linked notes but represents an important distinction from direct index ownership. While investors receive monthly coupon payments from the issuer, they receive no economic benefit from dividend distributions that the underlying indices' constituent stocks may pay during the note holding period.

Additionally, the filing states that the contingent repayment of the stated principal amount applies only if investors hold the notes to maturity or if the notes are called early by the issuer. This means investors cannot recover their principal investment before maturity unless the issuer exercises its call right. The notes are not listed on any securities exchange and may have limited or no liquidity in secondary markets, potentially trapping investors in a position until maturity or redemption by the issuer.

Estimated Valuation Relative to Issue Price

The disclosure includes a notable statement regarding the estimated value of the notes at issuance. Citigroup Global Markets Holdings Inc. expects that the estimated value of the notes on the trade date will be at least $9.86 per note, which is less than the $10.00 issue price. This $0.14 per note discount between the estimated value and the issue price reflects embedded costs associated with the structured product, including the value of the options embedded in the notes and underwriting compensation.

The filing specifies that the estimated value is based on proprietary pricing models of Citigroup Global Markets Inc. and the issuer's internal funding rate. The disclosure explicitly states that this estimated value "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 notes from you at any time after issuance." This language reflects standard practice in structured product disclosures but underscores that investors purchasing at the $10.00 issue price face an immediate theoretical loss relative to the estimated fair value.

Regulatory Status and Investor Protections

The preliminary pricing supplement filed on July 28, 2026, is subject to completion and notes that this document and accompanying materials are not an offer to sell the notes or a solicitation to buy them in any jurisdiction where the offer or sale is not permitted. The filing indicates that a registration statement relating to these notes has been filed with the Securities and Exchange Commission under registration statement numbers 333-293732 and 333-293732-02. The preliminary supplement is filed pursuant to Rule 424(b)(2).

The disclosure emphasizes that neither the SEC nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or adequacy of the pricing supplement or accompanying documents. The filing explicitly warns that any representation to the contrary would constitute a criminal offense. Additionally, investors are informed that the notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. This combination of warnings reflects the regulatory framework applicable to structured products and the elevated risk profile relative to traditional debt instruments or FDIC-insured bank products.

Summary Risk Factors and Investment Suitability Warnings

The preliminary pricing supplement directs investors to carefully consider the risks described under "Summary Risk Factors" beginning on page PS-7 of the pricing supplement and under "Risk Factors Relating to the Securities" beginning on page EA-6 of the accompanying product supplement. The filing states that events relating to any of those risks or other risks and uncertainties could adversely affect the market value of and the return on the notes, and that investors may lose some or all of their initial investment.

The disclosure contains a direct suitability warning: "You should not purchase the notes if you do not understand or are not comfortable with the significant risks involved in investing in the notes." This language underscores that these instruments are designed for sophisticated investors with a clear understanding of structured products, equity index behavior, and the specific mechanics of the call, coupon, and downside protection features. The warning serves as a protective statement for the issuer but also provides important guidance to investors regarding appropriate investment profile alignment.