Citigroup Issues Callable Equity-Linked Securities Tied to Russell 2000, Energy and Semiconductor ETFs

Structure of the Contingent Coupon Payment Mechanism

The securities are designed to deliver contingent coupon payments on a monthly basis beginning approximately 30 August 2026 and continuing through July 30, 2029. The filing states that on each contingent coupon payment date, investors will receive a payment equal to at least 1.4667% of the stated principal amount, or approximately 17.60% per annum, provided that the closing value of the worst-performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value of 50% of the initial underlying value. The contingent coupon payment structure means that investors receive no coupon on any given payment date if the worst-performing underlying closes below its barrier level on the preceding valuation date, regardless of the performance of the other two underlyings.

The disclosure indicates that valuation dates are scheduled approximately monthly, with a final valuation date of July 30, 2029. If any single underlying performs poorly relative to its initial value, investors face an immediate elimination of that month's contingent coupon payment. This structure creates a scenario where an investor exposed to three different asset classes receives payments only when all are performing adequately relative to their respective barrier levels. The filing emphasizes that investors will receive no payments whatsoever if the worst-performing underlying remains depressed throughout any given month.

Maturity Payment Structure and Capital Risk

The filing discloses two potential payment scenarios at maturity on August 2, 2029. If the final underlying value of the worst-performing underlying is greater than or equal to its final barrier value of 50% of its initial value, investors will receive the full $1,000 stated principal amount. However, if the final underlying value falls below the final barrier value, the maturity payment will be reduced by the underlying return of the worst-performing underlying, calculated as the decline from the initial value. The disclosure explicitly states that investors may receive significantly less than the stated principal amount and possibly nothing at maturity under this scenario.

This structure creates substantial downside exposure for security holders. Unlike conventional debt securities where principal is protected, these securities provide no principal protection if the worst-performing underlying declines more than 50% from its initial value on the final valuation date. For example, if one underlying declines 60% while the others remain stable, investors would lose 10% of principal plus forgo all contingent coupons for months when that underlying traded below its barrier. The filing warns that the value of what investors receive at maturity may be significantly less than stated principal amount, and may be zero.

Worst-Performing Underlying Determination

A critical feature of these securities is that all payments depend solely on the performance of the worst-performing underlying among the three chosen assets: the Russell 2000 Index, State Street Energy Select Sector SPDR ETF, and VanEck Semiconductor ETF. The filing explains that investors will be subject to risks associated with each underlying and will be negatively affected by adverse movements in any one of them. This means that if the Russell 2000 declines 20%, the Energy ETF rises 15%, and the Semiconductor ETF rises 10%, the Russell 2000 becomes the worst performer and dictates all coupon and maturity payments.

The disclosure emphasizes that investors lack upside participation in any underlying. Although holding these securities, investors will not receive dividends with respect to any underlying or participate in any appreciation of any underlying. This asymmetric payoff structure means that if all three underlyings rise 30%, investors receive only contingent coupons, not the appreciation gains. Conversely, if the worst performer declines significantly, investors experience full downside exposure without any offsetting benefits from the stronger performers.

Callable Feature and Issuer Redemption Rights

The securities are callable by Citigroup Global Markets Holdings Inc. on any potential redemption date, which corresponds to the contingent coupon payment dates beginning February 1, 2027 through maturity. The filing discloses that Citigroup may call the securities in whole and not in part for mandatory redemption upon providing at least three business days' notice. Upon redemption, investors will receive $1,000 plus any applicable contingent coupon payment due on that redemption date. The disclosure indicates that potential redemption dates extend from February 1, 2027 through May 30, 2029, providing Citigroup with multiple opportunities to call the securities.

The callable feature introduces reinvestment risk for investors. If Citigroup exercises its redemption right when market interest rates have declined, investors will be forced to redeploy capital into a lower-yield environment. The filing does not indicate any make-whole premium or adjustment to principal upon redemption, suggesting investors receive exactly $1,000 plus accrued coupon regardless of market conditions at the time of redemption. This feature protects the issuer's interests while potentially disadvantaging investors who may have experienced gains in the underlying securities.

Pricing, Valuation, and Underwriting Economics

The filing states that the securities will be issued at $1,000 per security with an underwriting fee of $7.50 per security payable to Citigroup Global Markets Inc. This results in proceeds to the issuer of $992.50 per security. However, the disclosure contains a critical valuation disclosure: Citigroup Global Markets Holdings Inc. currently expects that the estimated value of the securities on the pricing date will be at least $927.00 per security, which will be less than the issue price. The filing clarifies that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and the issuer's internal funding rate.

The disclosure explicitly states that the estimated valuation is not an indication of actual profit to Citigroup Global Markets Inc. or its other affiliates, nor is it an indication of the price at which Citigroup Global Markets Inc. or any other person may be willing to buy the securities from investors at any time after issuance. This $73.00-per-security valuation gap highlights the embedded costs and risks of these structured products. Additionally, 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, according to the filing. The disclosure notes that Citigroup will also pay electronic platform providers a fee of up to $1.50 per security sold through such platforms.

Liquidity and Trading Constraints

The filing specifies that the securities will not be listed on any securities exchange. This lack of exchange listing creates significant liquidity constraints for investors. The disclosure warns that investors must be willing to accept an investment that may have limited or no liquidity. Without exchange listing, secondary market trading will depend entirely on the willingness of Citigroup Global Markets Inc. or other dealers to make markets in the securities, and no guarantee exists that any secondary market will develop or continue if it does develop.

The absence of liquidity creates a practical trap for investors who need to exit positions before maturity. While the securities mature on August 2, 2029—approximately three years from the pricing date—investors with changing circumstances or risk tolerance cannot rely on easily liquidating their holdings at transparent market prices. The combination of no exchange listing and Citigroup's proprietary pricing models means that any secondary sale would likely occur at prices determined by Citigroup's internal valuation, which may differ substantially from the investor's break-even or desired exit price.

Credit Risk and Guarantor Obligations

The filing discloses that all payments on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of the issuer Citigroup Global Markets Holdings Inc. The pricing supplement emphasizes that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. This dual exposure means that investors face not only the performance risk linked to the three underlyings but also the credit risk of these two entities. If Citigroup Inc. defaults, investors would become unsecured creditors competing with other unsecured claimants for recovery.

The filing explicitly 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 disclaimer clarifies that despite being issued by a subsidiary of a major banking institution, these securities lack the protections available to traditional bank deposits. Investors rely entirely on Citigroup's credit quality and the company's ability to meet its obligations throughout the three-year holding period.

Valuation Dates and Payment Schedule

The filing lists 38 scheduled valuation dates beginning August 31, 2026 and ending with the final valuation date of July 30, 2029. Each valuation date is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. Contingent coupon payments are made on the third business day after each valuation date, except that the contingent coupon payment following the final valuation date occurs on the maturity date. This structure means investors receive approximately monthly payments on a schedule known in advance, assuming market conditions remain normal.

The disclosure notes that each valuation date depends on the closing values of the three underlying securities on that specific date. Market disruption events could delay valuation, which would cascade to delay coupon payments. The filing does not provide specific details on what events qualify as market disruptions or how long such postponements could extend. This creates potential uncertainty regarding payment timing, particularly during periods of elevated market volatility or market closures.

Statutory and Regulatory Status

The filing indicates that the securities are subject to completion and may be changed. The document is dated July 28, 2026, and is labeled as a preliminary pricing supplement, indicating that final pricing and terms have not yet been determined. The offering is made pursuant to a registration statement with SEC Registration Statement Nos. 333-293732 and 333-293732-02. The preliminary nature of this filing means that investors cannot rely on these exact terms for their final investment decision, as material changes are possible.

The filing includes standard regulatory language stating that the Securities and Exchange Commission and state securities commissions have not approved or disapproved the securities or determined whether the pricing supplement and related documents are truthful and complete. The disclosure notes that representation to the contrary would constitute a criminal offense. This language underscores that SEC review does not constitute an endorsement of the investment merit of these securities, only that the offering documentation meets regulatory filing requirements.