Citigroup Issues Autocallable Equity-Linked Securities Tied to Dow Jones and S&P 500 Performance

Structure and Terms of the Autocallable Securities Offering

The filing discloses that Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., is issuing unsecured debt securities that are fully and unconditionally guaranteed by Citigroup Inc. The securities are linked to the performance of two major equity indices: the Dow Jones Industrial Average and the S&P 500 Index. The stated principal amount per security is $1,000, and the securities are scheduled to mature on August 17, 2029, unless redeemed earlier through the automatic early redemption feature. The pricing date is August 14, 2026, with an issue date of August 19, 2026.

Valuation of the securities occurs on thirteen scheduled dates, beginning November 16, 2026, and concluding on August 14, 2029. The disclosure notes that each valuation date is subject to postponement if it is not a scheduled trading day or if certain market disruption events occur. Contingent coupon payments are made on the third business day following each valuation date, except for the final coupon payment, which will be made on the maturity date itself.

Contingent Coupon Mechanics and Payment Conditions

The filing states that contingent coupon payments will be made on each contingent coupon payment date unless the securities have previously been redeemed. Each coupon payment equals 2.40% of the stated principal amount per security, equivalent to a contingent coupon rate of 9.60% per annum. Critically, investors will receive this coupon payment if and 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. The coupon barrier value is set at 70.00% of the initial underlying value for each index.

If the closing value of the worst-performing underlying falls below the 70% coupon barrier on any valuation date, no contingent coupon payment will be made on the following contingent coupon payment date. This means investors face a binary outcome: they either receive the full contingent coupon or receive nothing, with no partial payments. The worst-performing underlying is defined as the index with the lowest underlying return on any given valuation date, determined by comparing the percentage change from the initial underlying value on the pricing date.

Automatic Early Redemption Feature and Its Impact

The disclosure highlights a significant structural feature: the securities may be automatically called for redemption prior to maturity beginning on the first potential autocall date scheduled for November 16, 2026. Automatic early redemption occurs if, on any potential autocall date, the closing value of the worst-performing underlying is greater than or equal to its initial underlying value on the pricing date. When this happens, each security held will be automatically called and redeemed on the immediately following contingent coupon payment date for $1,000 plus the related contingent coupon payment.

The filing emphasizes that the automatic early redemption feature may significantly limit investor returns. If the worst-performing underlying performs favorably enough to trigger the autocall condition, the securities will be redeemed early, cutting short the opportunity to receive additional contingent coupon payments over the full three-year term. This means investors face a structural trade-off: strong market performance that would ordinarily be favorable results in early redemption and loss of future coupon opportunities. There are twelve potential autocall dates specified in the disclosure, scheduled approximately quarterly through May 14, 2029.

Maturity Payment Structure and Downside Risk Exposure

The filing describes two distinct payment scenarios at maturity if the securities are not automatically redeemed prior to the final valuation date on August 14, 2029. If the final underlying value of the worst-performing underlying is greater than or equal to its final barrier value of 70% of the initial underlying value, investors will receive the full stated principal amount of $1,000 plus any applicable final contingent coupon payment. However, if the final underlying value of the worst-performing underlying falls below the 70% final barrier value, investors will receive significantly less than the stated principal amount and possibly nothing.

In the adverse scenario, investors receive $1,000 plus the underlying return of the worst-performing underlying multiplied by $1,000. This means that if the worst-performing underlying declines 30% from its initial value, investors would receive only $700 per security at maturity. If the worst-performing underlying declines 100%, investors would receive zero. The disclosure explicitly states that under these conditions, investors will not receive any contingent coupon payment at maturity, meaning their total return could be substantially negative even before accounting for the time value of money.

Valuation of Securities and Estimated Fair Value

The filing discloses that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date to be at least $942.50 per security, which is less than the $1,000 issue price. This $57.50 difference per security represents an immediate embedded loss at issuance. The disclosure notes that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and its internal funding rate, and is not an indication of actual profit to Citigroup or its affiliates, nor is it an indication of the price at which any party may be willing to purchase the securities after issuance.

The filing emphasizes that this valuation is preliminary and subject to completion. Investors are cautioned that the estimated fair value does not represent what the securities might trade for in the secondary market or what they might be worth at any point after issuance. The disclosure suggests that the securities are designed to compensate for the embedded loss through the contingent coupon payments and the potential for principal recovery if the worst-performing underlying does not decline more than 30% by maturity.

Worst-Performing Underlying Methodology

A critical aspect of these securities is that investors are exposed to the performance of both indices but receive payments based only on the worst-performing index. The filing defines the worst-performing underlying as the index with the lowest underlying return on any valuation date. Underlying return is calculated as the closing value on the valuation date minus the initial underlying value, divided by the initial underlying value. This means that even if one index performs strongly, investors receive no benefit from that performance if the other index underperforms.

The disclosure warns 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. Although investors have downside exposure to the worst-performing underlying, they will not receive dividends with respect to any underlying or participate in any appreciation of any underlying. This creates an asymmetric risk profile where investors share in losses but not in gains beyond the recovery of principal.

Underwriting Arrangements and Fees

The filing states that Citigroup Global Markets Inc., an affiliate of the issuer, is acting as the principal underwriter for this offering. The issue price is $1,000 per security with no explicit underwriting fee listed in the key terms table. However, Citigroup Global Markets Inc. will pay selected dealers a structuring fee of up to $2.50 for each security they sell. Additionally, Citigroup Global Markets Inc. will pay one or more electronic platform providers a fee for each security sold through such providers when related selected dealers and custodians utilize them.

The disclosure notes that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines. This indicates that the underwriter and its affiliates have financial incentives that may not be aligned with investor returns. The disclosure regarding hedging profits is particularly relevant given that the estimated fair value on the pricing date is below the issue price, suggesting that issuers and their affiliates may benefit from the difference between the issue price and the estimated value through hedging and trading activities.

Credit Risk and Guarantee Structure

The filing emphasizes that all payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. Although Citigroup Inc. provides an unconditional guarantee of all payments due on the securities, investors remain exposed to the credit risk of the guarantor. In the event of default by either the issuer or the guarantor, investors may not receive promised coupon payments or principal repayment. The securities are described as unsecured debt obligations, meaning investors have no claim to specific assets in the event of default.

The disclosure 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. This language clarifies that despite the involvement of a major financial institution, investors receive no deposit insurance protection or government backing. In a scenario where Citigroup's creditworthiness deteriorates, the value and repayment of these securities could be adversely affected independent of underlying index performance.

Liquidity and Secondary Market Considerations

The filing discloses that the securities will not be listed on any securities exchange. This lack of exchange listing has direct implications for investor liquidity. Investors seeking to exit their positions before maturity would need to find buyers in an over-the-counter market, where pricing and availability cannot be guaranteed. The disclosure warns that investors must be willing to accept an investment that may have limited or no liquidity.

The absence of exchange listing also means there will be no transparent, real-time price discovery mechanism. Investors seeking to sell securities between valuation dates would likely need to rely on quotes from dealers or market makers, which may have significant bid-ask spreads and may not be available at all times. This liquidity risk compounds the structural risks embedded in the securities' payoff profile, as investors may find themselves unable to exit positions at favorable prices if market conditions deteriorate.

Risk Factors and Investor Considerations

The filing identifies multiple risk factors that distinguish these securities from conventional debt instruments. Investors are warned that their actual yield may be lower than the yield on conventional debt securities of the same maturity because they may not receive one or more, or any, contingent coupon payments. The value of what investors receive at maturity may be significantly less than the stated principal amount and may be zero. Additionally, the securities may be automatically called for redemption prior to maturity, limiting potential returns if underlying indices perform well.

The disclosure emphasizes that each of these risks depends solely on the performance of the worst-performing underlying. Unlike conventional bonds where credit risk is the primary concern, these securities add index performance risk. The asymmetry in the payoff structure—where investors absorb all downside losses beyond the 70% barrier but have no upside participation beyond principal recovery—creates a risk-reward profile that is not typical of traditional fixed-income securities. Investors considering these securities must understand and be comfortable with the possibility of receiving significantly less than their initial investment at maturity.