Citigroup Issues Callable Equity-Linked Notes Tied to Three Major Market Indexes Through August 2029

Structured Note Design and Performance Mechanics

The securities represent a multi-index equity-linked instrument where returns depend entirely on the worst-performing underlying rather than an equally weighted or best-performing index. This structure creates asymmetric risk exposure: investors receive downside participation in whichever index declines most significantly, while receiving no upside participation or dividends from any of the three underlyings. The filing discloses that contingent coupon payments will be made only when the worst-performing underlying closes at or above 70% of its initial value on each valuation date, establishing a clear performance threshold that must be monitored by investors throughout the three-year holding period.

The filing specifies 38 scheduled valuation dates beginning September 8, 2026, and ending August 6, 2029, creating monthly observation points for coupon eligibility. If the worst-performing underlying falls below its coupon barrier on any single valuation date, no contingent coupon payment is made on the corresponding payment date, regardless of other indexes' performance. This mechanism means investors face cumulative risk across multiple performance observations, with a single underperforming index capable of triggering non-payment across all three underlying exposures.

Maturity Payoff Structure and Principal Protection Barriers

The securities establish two distinct performance barriers that determine the maturity payment structure. The filing states that if the worst-performing underlying's final value on August 6, 2029 remains at or above 60% of its initial value, investors receive full stated principal of $1,000 per security. However, if the worst-performing underlying declines below this 60% threshold, the maturity payment drops below par, with the shortfall calculated as the underlying return multiplied by $1,000. The disclosure indicates investors may receive "significantly less than the stated principal amount of your securities, and possibly nothing, at maturity" if market conditions deteriorate substantially.

This design structure means the 40% decline barrier represents the maximum loss containment level before principal erosion becomes direct. The filing emphasizes that investors will not receive the final contingent coupon payment if the worst-performing underlying closes below its coupon barrier on the final valuation date, compounding the loss if the underlying has declined significantly. The combination of no principal protection below 60% and contingent coupon dependence on the same performance metric creates concentrated downside risk across both income and principal components of the investment.

Valuation and Estimated Fair Value Disclosure

Citigroup Global Markets Holdings disclosed that the estimated value of the securities on the pricing date will be at least $940.00 per security, creating an immediate $60 per-security valuation gap relative to the $1,000 issue price. The filing specifies that this estimate is based on the issuer's proprietary pricing models and internal funding rate, and explicitly states this 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." This language suggests investors should not expect secondary market prices to reflect fair value as estimated by the issuer at inception.

The significant gap between issue price and estimated fair value reflects the underwriting spread and embedded costs associated with the structured product. The filing discloses an underwriting fee of $4.00 per security payable to Citigroup Global Markets Inc., plus an additional payment of up to $1.50 per security to electronic platform providers where dealers and custodians utilize such services. The prospectus supplement notes that CGMI and its affiliates may profit from hedging activity related to this offering even if the securities decline in value, representing a structural advantage to the issuer that reduces the effective return available to investors.

Call Rights and Redemption Dates

The filing grants Citigroup Global Markets Holdings the right to call the securities for mandatory redemption in whole, but not in part, on any designated potential redemption date with not less than three business days' notice. The company may exercise this call beginning with the contingent coupon payment date related to the February 8, 2027 valuation and continuing through subsequent coupon payment dates. Upon redemption, investors will receive $1,000 plus any related contingent coupon payment for each security held, meaning call exercise prior to maturity returns principal at par plus accrued contingent coupons.

The filing specifies 20 potential redemption dates ranging from the February 8, 2027 coupon payment through dates extending into 2028. This call structure provides the issuer with optionality to manage its liability if market conditions improve and the worst-performing underlying appreciates, potentially allowing early redemption to limit future contingent coupon obligations. For investors, this embedded call feature represents opportunity risk: if all three indexes perform well, the issuer may choose to redeem the securities early, capping gains at the coupon payments received to that date while eliminating exposure to further appreciation.

Credit Risk and Guarantee Structure

The securities are issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. The disclosure indicates these are unsecured debt obligations, meaning repayment depends on the issuer's and guarantor's creditworthiness with no collateral backing. The filing prominently states that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." and emphasizes that investors must accept the risk of not receiving any payments if either entity defaults on obligations.

The guarantee provides a second repayment source but does not eliminate credit risk; Citigroup Inc.'s credit rating and financial condition directly affect the securities' safety. The filing notes 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," making clear that no federal safety nets apply despite the securities' structural similarity to bank-issued products. Investors bear both market risk from index performance and counterparty risk from potential default.

Lack of Liquidity and Secondary Market Availability

The filing explicitly states that "the securities will not be listed on any securities exchange," immediately establishing that no transparent, continuous market for trading will be available. The disclosure indicates investors must be willing to accept "an investment that may have limited or no liquidity," acknowledging the practical difficulty in selling these securities before maturity. Without listing or a formal secondary market, investors seeking early exit must negotiate directly with potential buyers or the issuer, with no guaranteed pricing or execution.

Citigroup Global Markets Inc. acts as principal underwriter but the filing does not commit the firm to maintain a secondary trading market or provide bid-ask pricing after issuance. The lack of liquidity becomes particularly significant for investors who may face unexpected capital needs or wish to exit if market conditions deteriorate. The combination of complex valuation mechanics, multiple index dependencies, and no exchange listing means these securities are suited primarily for buy-and-hold investors with three-year investment horizons and the ability to monitor multi-index performance.

Risk Concentration in Worst-Performing Index

The structural design creates unusual risk concentration: investors are exposed to downside performance in the weakest-performing index while receiving zero upside from any appreciation. The filing states explicitly that "you 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 you will have downside exposure to the worst performing underlying, you will not receive dividends with respect to any underlying or participate in any appreciation of any underlying." This structure means that even if two of the three indexes (such as the S&P 500 and Nasdaq-100) appreciate substantially, if the Russell 2000 declines below its barriers, investors receive reduced or no contingent coupons and potential principal loss.

Historical periods with significant divergence between index performance suggest this risk is not merely theoretical. During past market cycles, small-cap indexes (represented by the Russell 2000) have substantially underperformed large-cap indexes during certain recovery periods. The worst-of mechanism amplifies downside concentration in extended bear markets affecting all three indexes. For instance, if all three indexes decline but the Russell 2000 falls furthest, investors would experience principal erosion equal to the Russell 2000's specific decline, despite potentially smaller losses in the other two indexes.

Offering Terms and Pricing Structure

The securities carry a $1,000 stated principal amount with an August 6, 2026 pricing date and August 11, 2026 issue date. The preliminary pricing supplement indicates final pricing details remain subject to completion, with specific underwriting fee amounts and total offering size to be finalized. The issuer currently expects to retain $996.00 net proceeds per security after the $4.00 underwriting fee, plus additional sums if variable portions of the underwriting fee apply differently based on distribution channels. The filing indicates that electronic platform providers may receive additional fees up to $1.50 per security, further reducing net proceeds available to the issuer.

The expected estimated value of at least $940 per security at pricing reflects hedging costs and embedded structural costs that are not itemized separately in the filing. Investors purchasing at the $1,000 issue price therefore pay a premium over the estimated fair value from inception, implying that the contingent coupon rate of approximately at least 12.10% per annum must exceed conventional debt yields by sufficient margin to compensate for the structural complexity and index-dependent coupon risk. The filing does not disclose what conventional debt yields were available to Citigroup at the same maturity for comparison purposes.

Regulatory Status and Investor Protections

The filing notes that a registration statement relating to these securities has been filed with the Securities and Exchange Commission under numbers 333-293732 and 333-293732-02, establishing federal securities registration. The preliminary pricing supplement is filed pursuant to Rule 424(b)(2), indicating this is a preliminary disclosure subject to completion before final offer and sale. The document states clearly that "the information in this preliminary pricing supplement is not complete and may be changed," and emphasizes that "neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete."

The accompanying product supplement, underlying supplement, prospectus supplement, and full prospectus are referenced as essential reading, indicating material terms extend beyond this pricing supplement. The prospectus dated February 25, 2026, establishes the general framework for the securities program, while the underlying supplement specifies mechanics for the three linked indexes. Investors should review all documents before committing capital, particularly the risk factors section which begins on page PS-6 of the pricing supplement. The regulatory framework does not guarantee the securities' suitability or safety, only that disclosure has been made under federal law.