Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement (Form 424B2) on August 4, 2026, for autocallable contingent coupon equity-linked securities linked to the worst performing of the Dow Jones Industrial Average, the Nasdaq-100 Index, and the Russell 2000 Index, with a stated maturity date of August 24, 2029.

Key Highlights

  • Linked Index Structure: Payments depend solely on the worst performing of the Dow Jones Industrial Average, the Nasdaq-100 Index, and the Russell 2000 Index.
  • Contingent Coupon Rate: At least 0.5875% per valuation period (equivalent to at least 7.05% per annum), paid only if the worst performing underlying closes at or above its coupon barrier value of 60.00% of its initial underlying value.
  • Final Barrier Value: Set at 60.00% of each underlying's initial underlying value; principal repayment at maturity depends on whether the worst performing underlying stays at or above this level.
  • Issue Price and Underwriting Fee: $1,000.00 per security, with an underwriting fee of up to $29.50 per security and minimum proceeds to issuer of $970.50 per security.
  • Estimated Value: According to the filing, the estimated value of the securities on the pricing date will be at least $912.00 per security, which the filing notes "will be less than the issue price."
  • Autocall Feature: Securities may be automatically redeemed early at $1,000 plus the related contingent coupon if the worst performing underlying closes at or above its initial underlying value on any potential autocall date.
  • No Exchange Listing: The securities will not be listed on any securities exchange.

Structure, Terms, and Risks of Citigroup's Worst-of Linked Notes

According to the filing, the securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., and are fully and unconditionally guaranteed by Citigroup Inc. The stated principal amount is $1,000 per security, with a pricing date of August 21, 2026, an issue date of August 26, 2026, and a maturity date of August 24, 2029, unless earlier redeemed. The underwriter is Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acting as principal.

The filing discloses that contingent coupon payments of at least 0.5875% of the stated principal amount are made on each contingent coupon payment date only if the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value. Both the coupon barrier value and the final barrier value are set at 60.00% of each underlying's initial underlying value. The filing states that if the final underlying value of the worst performing underlying is less than its final barrier value at maturity, investors receive "$1,000 + ($1,000 x the underlying return of the worst performing underlying on the final valuation date)," which the filing notes could be "significantly less than the stated principal amount" and "possibly nothing."

The filing further discloses that the estimated value of the securities on the pricing date will be at least $912.00 per security, based on CGMI's proprietary pricing models and an internal funding rate, and that this estimate "is not an indication of actual profit to CGMI" or of any price at which CGMI may buy the securities after issuance. CGMI and its affiliates may also profit from hedging activity related to the offering. The filing notes that investors must accept potential limited or no liquidity and the risk of no payments if both the issuer and Citigroup Inc. default.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for autocallable contingent coupon notes due August 24, 2029, linked to three equity indexes on a worst-of basis, with a contingent coupon of at least 7.05% per annum, barrier levels at 60.00%, and an estimated value of at least $912.00 per security against a $1,000.00 issue price.