Citigroup Issues Callable Contingent Coupon Equity Linked Securities Linked to Three Major Stock Indexes

Structure and Underlying Index Performance Mechanics

The disclosure outlines a three-year structured note designed with contingent coupon payments that depend on the performance of the worst-performing of three major market indexes. The securities will measure performance against the Nasdaq-100 Index, Russell 2000 Index, and S&P 500 Index, with initial underlying values established on the pricing date of July 31, 2026. The structure requires investors to monitor which of the three indexes performs worst relative to its starting point, as all payment calculations hinge on that single worst performer rather than on average performance or individual index outcomes.

The document establishes two critical performance barriers that determine investor returns. The coupon barrier is set at 70% of each index's initial value, while the final barrier is set at 60% of initial value. On each of 38 scheduled valuation dates spanning from August 31, 2026 through July 31, 2029, the closing value of the worst-performing underlying will be measured against the coupon barrier to determine whether a contingent coupon payment will be made. The filing notes that valuation dates are subject to postponement if the scheduled date is not a trading day or if certain market disruption events occur. This frequent measurement schedule—roughly monthly—means the security's performance will be assessed regularly over the three-year holding period, with any breach of the coupon barrier eliminating coupon payments for that period.

Contingent Coupon Payment Terms and Annual Yield Potential

The contingent coupon structure offers investors an annualized rate of approximately at least 13.75% per annum, translating to approximately at least 1.1458% of stated principal amount per contingent coupon payment period. The filing emphasizes that this higher coupon rate is offered in exchange for accepting the risk that coupon payments may not be received if the worst-performing underlying's closing value falls below the 70% coupon barrier on any valuation date. Coupon payments are scheduled for the third business day after each valuation date, except that the final contingent coupon payment date coincides with the maturity date of August 3, 2029.

The disclosure clearly states that investors will not receive any contingent coupon payment on the immediately following payment date if the worst-performing underlying closes below its coupon barrier value on any valuation date. This means that even a single breach of the barrier eliminates the coupon for that period; there is no mechanism to recover missed coupons in subsequent periods if the index recovers. The document specifies that all coupon payments depend solely on the worst-performing underlying's performance, creating asymmetric risk where any single weak index performer can eliminate income regardless of how the other two indexes perform. The actual contingent coupon rate to be determined on the pricing date may be higher than the stated minimum of approximately at least 13.75% per annum, though no higher figure is disclosed in the filing.

Principal Repayment Risk and Maturity Provisions

At maturity on August 3, 2029, assuming the securities are not redeemed prior to that date, investors will receive either full principal value of $1,000 per security or principal plus a loss amount calculated based on the worst-performing underlying's decline. If the final underlying value of the worst performer on the final valuation date (July 31, 2029) is greater than or equal to its final barrier value of 60% of initial value, investors will receive the full $1,000 stated principal amount. However, if that final value falls below the 60% barrier, investors will receive $1,000 plus the underlying return of the worst performer, which could be substantially negative.

The filing emphasizes that if the worst-performing underlying has declined more than 40% from its initial value by the final valuation date, investors will receive "significantly less than the stated principal amount" and could receive "possibly nothing" at maturity. The document states that investors will also not receive any final contingent coupon payment if the final barrier has been breached. This structure means investors have full downside exposure to index declines once the worst performer falls below 60% of its starting value—a decline of more than 40% would result in dollar-for-dollar losses beyond that barrier. The disclosure provides no cap on losses, meaning catastrophic index collapses could result in near-total loss of principal.

Callable Structure and Redemption Rights

The issuer, Citigroup Global Markets Holdings Inc., retains the right to call and redeem the securities in whole (but not in part) on any potential redemption date, with at least three business days' notice required. Potential redemption dates correspond to contingent coupon payment dates related to valuation dates scheduled through July 2, 2029 and July 31, 2029. When the securities are called for mandatory redemption, investors will receive cash equal to $1,000 per security plus any related contingent coupon payment that would have been due.

The callable feature benefits the issuer but introduces reinvestment risk for investors. If the indexes perform strongly and coupon payments are being made, the issuer has incentive to call the securities to eliminate the obligation to continue paying the elevated contingent coupons. Conversely, if indexes decline and coupons are at risk of being skipped, the issuer may be less inclined to call. This asymmetry means investors cannot rely on receiving the full three-year stream of contingent coupon payments at the approximately 13.75% annualized rate, and any early redemption would force reinvestment of proceeds in what could be a different interest rate environment.

Liquidity and Exchange Listing Status

The disclosure explicitly states that the securities will not be listed on any securities exchange, a significant limitation on investor liquidity. The filing identifies this as a key risk factor, warning that investors in the securities "must be willing to accept (i) an investment that may have limited or no liquidity." While the underwriter, Citigroup Global Markets Inc., may engage in hedging activity and secondary market transactions related to the offering, the filing provides no guarantee of a secondary market or any indication of where investors could liquidate holdings before maturity if necessary.

The absence of exchange listing creates practical challenges for institutional and individual investors seeking to exit positions prior to the August 3, 2029 maturity date. Any sale would likely require negotiation with the underwriter or other market participants, and pricing would reflect both the issuer's credit risk and the current performance of the three underlying indexes. The company notes that the estimated value of the securities on the pricing date is expected to be at least $944.50 per security, already substantially below the $1,000 issue price, suggesting that secondary market valuations could reflect significant discounts to par value depending on index performance and credit considerations.

Credit Risk and Guarantee Structure

All payments on the securities are fully backed by a guarantee from Citigroup Inc., the parent company of the issuer, Citigroup Global Markets Holdings Inc. The filing emphasizes that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." This guarantee means investors have recourse to both the subsidiary issuer and the parent in the event of default, but it does not eliminate credit risk. If both entities were to default on their obligations, investors would become unsecured creditors with no special protection compared to other unsecured debt holders.

The disclosure notes that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. This clarification is material because many investors may be familiar with Citigroup's banking operations and could assume deposit insurance coverage; the document makes clear no such protection applies. The unsecured nature of the debt means investors rank below secured creditors and depositors in any bankruptcy or restructuring scenario. While Citigroup is a major global financial institution, the filing provides no financial data on the company's current financial condition, capital ratios, or default probability, leaving investors to conduct separate credit analysis.

Pricing, Valuation, and Underwriting Economics

The issue price for each security is $1,000, with the underwriter, Citigroup Global Markets Inc., receiving a fee of up to $2.50 per security sold, resulting in net proceeds to the issuer of $997.50 per security (assuming maximum underwriting fees). The filing discloses that Citigroup Global Markets Holdings Inc. "currently expects that the estimated value of the securities on the pricing date will be at least $944.50 per security, which will be less than the issue price." This represents a discount of $55.50 per security, or approximately 5.55%, between the estimated fair value and the issue price. The company explicitly states that this estimated valuation 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 securities from you at any time after issuance."

In addition to the per-security underwriting fee, the filing discloses 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." This language acknowledges that the underwriter's revenue is not solely dependent on the securities appreciating in value. Furthermore, the filing notes that CGMI will pay up to $1.50 per security to electronic platform providers where dealers and custodians utilize such platforms. The valuation disclosure indicates that the securities are designed to generate profit for the issuer and underwriter at issuance, with that profit coming from the difference between the $1,000 issue price and the estimated fair value of approximately $944.50 or higher. This spread reflects the contingent coupon structure, index linkage, and credit risk that investors assume.

Valuation Methodology and Risk Disclosure Framework

The filing states that the estimated value of $944.50 per security is based on "CGMI's proprietary pricing models and our internal funding rate." The disclosure does not provide detail on the specific models, assumptions, volatility inputs, dividend yield estimates, or discount rates used in this valuation. Investors are directed to a "Valuation of the Securities" section of the pricing supplement for additional information, but the current filing excerpt does not include that section. The absence of transparent valuation detail means investors must either rely on the underwriter's proprietary models or conduct independent valuation analysis to assess whether the $1,000 issue price fairly reflects the estimated fair value and the full range of risks embedded in the contingent coupon structure.

The filing highlights a comprehensive list of risk factors specific to this security structure. The disclosure emphasizes that investors bear "downside exposure to the worst performing underlying" without receiving dividends or participating in appreciation of any underlying. This means investors assume full downside risk from index declines while forfeiting the benefit of dividend income that direct index investors would receive. The summary risk factors section beginning on page PS-6 (not included in the excerpt provided) presumably elaborates on these risks in greater detail, including market risk, credit risk, liquidity risk, contingent coupon payment risk, early redemption risk, and valuation risk. The filing's emphasis on risks reflects the complex nature of the security and the multiple ways investor returns could be reduced or eliminated.

Regulatory Framework and Registration Status

The disclosure is filed as a preliminary pricing supplement under SEC Rule 424(b)(2), relating to registration statement numbers 333-293732 and 333-293732-02. The document is dated July 23, 2026, and marked "subject to completion," indicating that certain final terms, including the actual contingent coupon rate, estimated value, and total offering size, were not finalized at the time of the filing. The filing includes the standard disclaimer that "the information in this preliminary pricing supplement is not complete and may be changed," and that the SEC and state securities commissions have not approved or disapproved the securities, with any representation to the contrary being a criminal offense.

The preliminary prospectus materials referenced in the filing include a Product Supplement No. EA-04-12 dated February 25, 2026, an Underlying Supplement No. 13 dated February 25, 2026, and a Prospectus Supplement and base Prospectus each dated February 25, 2026. These accompanying documents provide additional information on the product structure, the specific indexes, and the general terms governing the securities. The filing instructs investors to read the pricing supplement together with these accompanying documents, which can be accessed through hyperlinks. The regulatory framework ensures that material information about the offering structure, risks, and terms is distributed to investors, though the complexity and interconnected nature of the documents may require significant time to fully digest for retail investors.

Investor Suitability Considerations and Key Warnings

The disclosure identifies several key investor considerations that warrant careful evaluation. The filing warns that the actual yield on these securities may be "significantly lower than the yield on our conventional debt securities of the same maturity because you may not receive one or more, or any, contingent coupon payments." This language acknowledges that the headline annualized rate of approximately 13.75% is achievable only if no valuation dates result in the worst performer closing below the 70% coupon barrier. Given the monthly frequency of valuation dates over three years (38 total valuations) and the exposure to three different indexes, the probability of avoiding all breaches of the coupon barrier may be substantially lower than investors might initially assume, particularly in volatile market environments.

The filing emphasizes that investors must be "willing to accept" limited liquidity, credit risk, and the possibility of receiving returns far below stated principal amount at maturity. The language suggests these securities are appropriate only for investors with specific risk tolerance profiles and sophisticated understanding of structured products. The document provides no guidance on recommended investor types, investment horizons, or portfolio allocation strategies, placing responsibility on individual investors to determine suitability. The comprehensive risk disclosures and repeated warnings throughout the filing serve as clear notice that these are complex instruments with substantial downside potential and should not be purchased by investors uncomfortable with potential losses of principal or extended periods without coupon income.