Citigroup Launches Callable Contingent Coupon Equity Linked Securities Tied to Three Major Indices

Three-Index Structure Creates Downside Exposure to Worst Performer

The securities announced in this filing are linked to three major market indices: the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index. According to the disclosure, investors will have downside exposure to whichever of these three indices performs worst relative to its initial value. The filing states that although investors will participate in losses from the worst-performing underlying, they will not receive dividends or participate in any appreciation of any underlying. This asymmetric payoff structure means investors bear full downside risk on at least one major index while capturing none of the upside benefits typically associated with equity ownership.

The three indices selected represent distinct segments of the U.S. equity market: the Nasdaq-100 tracks 100 of the largest non-financial companies on the Nasdaq exchange, the Russell 2000 represents small-cap stocks, and the S&P 500 covers 500 large-cap companies across multiple sectors. By linking securities to all three simultaneously and penalizing investors based on the worst performer, the product structure exposes holders to broad market risk across multiple segments of the equity market spectrum. The initial underlying value for each index will be established on the pricing date of July 28, 2026.

Contingent Coupon Payments Depend on Barrier Maintenance Through Maturity

The filing discloses that contingent coupon payments will be made on a monthly or quarterly basis on 37 valuation dates extending through July 30, 2029, the final valuation date before maturity. Each contingent coupon payment will equal at least 0.8375% of the stated principal amount, which the filing notes is equivalent to a contingent coupon rate of at least 10.05% per annum. However, the critical condition for receiving these payments is that the worst-performing underlying must close at or above its coupon barrier value, defined as 70% of its initial underlying value, on the immediately preceding valuation date.

The disclosure reveals a make-whole provision that operates when coupon payments are missed and later resumed. If the worst-performing underlying falls below the coupon barrier on one or more valuation dates, investors forfeit the coupons due on those dates. However, if the underlying subsequently recovers above the coupon barrier on a future valuation date, the investor receives all previously unpaid contingent coupons at that time (without interest on the previously unpaid amounts). Importantly, the filing states that if the worst-performing underlying remains below the coupon barrier through the final valuation date, investors will not receive any unpaid contingent coupons from dates when the barrier was breached. This creates the possibility that investors could receive zero coupon payments over the entire three-year holding period.

Maturity Payment Tied to Final Barrier Level of 60 Percent

At maturity on August 2, 2029, unless the securities have been previously redeemed, investors will receive payment based on whether the worst-performing underlying has fallen below a final barrier value, set at 60% of its initial underlying value. The filing discloses that if the final underlying value is at or above this final barrier, investors will receive the full stated principal amount of $1,000 per security (plus any final contingent coupon payment, if applicable). This scenario represents the best-case outcome for principal recovery.

However, the filing presents a more severe outcome if the worst-performing underlying closes below the 60% final barrier value on the final valuation date. In this case, the amount received at maturity is calculated as $1,000 plus ($1,000 multiplied by the underlying return of the worst-performing underlying). The underlying return is calculated from the initial underlying value to the final underlying value. The disclosure explicitly states that under this scenario, investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity." This means that if the worst-performing index declines by 60% or more from its initial value, an investor could receive $400 or less per security—a substantial loss of principal. The disclosure further notes that no contingent coupon payment will be made at maturity in this scenario, including any previously unpaid contingent coupons.

Call Feature Allows Early Redemption at Full Principal Amount

The filing indicates that Citigroup retains the right to call and redeem these securities for mandatory redemption on any potential redemption date throughout the life of the securities. When securities are called, the disclosure states that investors will receive the full stated principal amount of $1,000 per security. The specific redemption dates are not enumerated in the preliminary pricing supplement but are referenced as "potential redemption dates specified below," suggesting these will be detailed in subsequent offering documents.

The inclusion of a call feature creates a one-sided risk for investors. The filing's language suggests that Citigroup would likely exercise the call option if market conditions move favorably, capping investors' upside potential while they retain full downside exposure to the worst-performing index. From the issuer's perspective, the call feature provides flexibility to manage interest rate risk and reduce future coupon obligations if the underlying indices rally and make the call option profitable.

Estimated Value at Pricing Significantly Below Issue Price

A key disclosure in the filing is the estimated value of the securities on the pricing date. Citigroup Global Markets Holdings Inc. stated that "the estimated value of the securities on the pricing date will be at least $932.50 per security, which will be less than the issue price" of $1,000. This $67.50 per-security discount (6.75% haircut) represents the estimated cost of the option embedded in the security—specifically, the cost to Citigroup of providing investors with downside exposure to the worst-performing index while retaining the call feature.

The filing notes that this estimated value is "based on CGMI's proprietary pricing models and our internal funding rate" and explicitly disclaims that it represents "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 a significant bid-ask spread and implies that investors should expect difficult resale conditions if they attempt to exit their positions before maturity. The filing references a "Valuation of the Securities" section in the pricing supplement for additional detail on valuation methodology.

Distribution Structure Includes Multiple Fee Layers

The filing discloses the fee structure governing the distribution of these securities. While Citigroup Global Markets Inc. (CGMI), the underwriter and an affiliate of the issuer, will not receive a traditional underwriting fee on the stated issue price, the company will pay selected dealers a structuring fee of up to $5.00 per security sold. Additionally, CGMI may engage other firms to provide marketing, education, structuring, or referral services and will pay these service providers a fee of up to $5.00 per security. The filing also notes that CGMI will pay electronic platform providers a fee of up to $1.50 per security where selected dealers and custodians utilize those platforms.

Collectively, these fees could total up to $11.50 per security, or 1.15% of the stated principal amount, embedded in the product economics. The filing states that "CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines," indicating that the issuer's profits will come from hedging gains rather than from the difference between the issue price and the estimated value of the securities. This structure aligns the issuer's financial incentives toward volatility rather than directional market movement.

Valuation Dates and Schedule Extend Through July 30, 2029

The disclosure provides an extensive list of 37 valuation dates beginning August 28, 2026, and concluding on July 30, 2029, the final valuation date. Monthly and quarterly valuation patterns are specified, subject to postponement if any valuation date is not a scheduled trading day or if certain market disruption events occur. Contingent coupon payments will be made on the third business day following each valuation date, except that the final contingent coupon payment (if any) will be made on the maturity date itself, August 2, 2029.

The extensive valuation schedule means investors' contingent coupon eligibility and maturity payment amounts will be determined across a three-year period with 37 separate measurement points. This frequent revaluation increases the likelihood that the worst-performing underlying will breach the coupon barrier at least once, resulting in forfeiture of at least one coupon payment. The spacing of valuation dates—approximately monthly from August 2026 through July 2029—creates multiple measurement events where market conditions could eliminate coupon payments for the following month or quarter.

Full Guarantee by Citigroup Inc. Covers All Payments

The filing states that all payments due on the securities are "fully and unconditionally guaranteed by Citigroup Inc." This guarantee means that Citigroup Inc., the parent company of Citigroup Global Markets Holdings Inc., stands behind the issuer's obligations to pay all contingent coupons, final contingent coupons, and principal amounts. However, the filing also emphasizes that investors are "subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc," indicating that if both entities were to default, investors would have no payment recourse.

While the guarantee provides some security relative to corporate bonds issued by less creditworthy entities, it does not eliminate counterparty risk. The filing makes clear that in a severe financial stress scenario affecting Citigroup, investors would face total loss of their investment. The guarantee is subordinated to the bank's secured debt and regulatory capital requirements, meaning that in a resolution scenario, debt holders would recover funds only after depositors, secured creditors, and regulatory capital requirements are satisfied.

Product Registration and Underlying Index Supplements Govern Additional Terms

The filing incorporates by reference several accompanying documents that provide additional detail on the securities' terms and conditions. These documents include Product Supplement No. EA-04-12 dated February 25, 2026; Underlying Supplement No. 13 dated February 25, 2026; and a Prospectus Supplement and Prospectus each dated February 25, 2026. The filing notes that a registration statement relating to these securities has been filed with the Securities and Exchange Commission under Registration Statement Nos. 333-293732 and 333-293732-02.

The filing is presented as a preliminary pricing supplement subject to completion, dated July 23, 2026, and states that "the information in this preliminary pricing supplement is not complete and may be changed." This language indicates that final terms, including the exact contingent coupon rate (currently listed as "at least 0.8375%"), the total offering size, and final pricing details, will be disclosed when the offering is officially launched. Investors are advised to review all accompanying documents before making any investment decision.

Liquidity and Redemption Risks Central to Investment Considerations

The filing explicitly discloses that the securities "will not be listed on any securities exchange," meaning there is no public secondary market for trading these instruments. Investors are cautioned that they must accept "an investment that may have limited or no liquidity" as a condition of purchase. The estimated value of $932.50 per security, substantially below the $1,000 issue price, reflects the market's assessment of the cost of illiquidity. If an investor needs to exit the position before maturity, they would likely face significant markdowns from the estimated value.

The filing's summary of risk factors beginning on page PS-6 (not included in the excerpt provided) is referenced as addressing "risks not associated with an investment in conventional debt securities." These include the risks that contingent coupon payments may be forfeited entirely if market barriers are breached, that principal could be substantially eroded if the worst-performing index declines sharply, and that the securities' lack of market listing severely restricts exit options. The filing makes clear that investors in these securities are accepting risks materially beyond those of traditional fixed-income instruments in exchange for the potential for higher coupon payments.