Citigroup Global Markets Holdings Inc. has priced Medium-Term Senior Notes Series N offering callable contingent coupon equity linked securities due August 2, 2029, linked to the worst performing of three exchange-traded funds: the State Street SPDR S&P 500 ETF Trust, the State Street Energy Select Sector SPDR ETF, and the VanEck Gold Miners ETF. The offering, which carries an $18.50 underwriting fee per $1,000 security, provides investors with the potential for higher yields in exchange for accepting significant downside risk and the possibility of receiving substantially less than principal at maturity. The securities are guaranteed by Citigroup Inc. and are subject to completion with a pricing date of July 30, 2026.

Key Points

  • NYSE: C
  • Citigroup Global Markets Holdings Inc. is issuing unsecured, callable contingent coupon equity linked securities due August 2, 2029, with contingent quarterly coupon payments tied to the worst performing of three equity ETFs
  • Issue price: $1,000 per security; underwriting fee: $18.50 per security; estimated value on pricing date: at least $906.50 per security; pricing date: July 30, 2026; issue date: August 4, 2026
  • Contingent coupon rate of 11.30% per annum (2.825% per quarter) if worst performing underlying closes above 50% of its initial value; zero coupon if barrier is breached
  • At maturity, investors receive full principal only if worst performing underlying closes at or above 50% of initial value; otherwise receive equity shares or cash equivalent, potentially worth significantly less or nothing
  • Investors should monitor the performance of all three underlyings and the company's call rights on any potential redemption date

Structure and Terms of the Equity Linked Securities

The securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. The stated principal amount is $1,000 per security. The offering is subject to completion, with the pricing date established as July 30, 2026, and the issue date set for August 4, 2026. The maturity date is August 2, 2029, unless the securities are redeemed earlier through Citigroup's call right. This structure positions the securities as medium-term instruments with embedded equity exposure, creating a hybrid between debt and equity characteristics that investors must carefully evaluate.

The securities link to three distinct equity exchange-traded funds: the State Street SPDR S&P 500 ETF Trust (tracking broad U.S. equity exposure), the State Street Energy Select Sector SPDR ETF (focused on the energy sector), and the VanEck Gold Miners ETF (providing exposure to gold mining companies). A critical feature is that all payments and barriers are determined exclusively by the performance of the worst performing underlying among these three. This structure means investors face downside exposure to whichever ETF declines the most significantly over the holding period, without any corresponding upside participation in any of the underlyings or dividend income.

Contingent Coupon Payment Mechanism and Conditions

The securities offer contingent coupon payments scheduled for thirteen dates between October 30, 2026, and July 30, 2029. On each contingent coupon payment date, investors receive a payment equal to 2.825% of the stated principal amount (11.30% annualized) 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, which is set at 50% of the underlying's initial value on the pricing date. If the worst performing underlying closes below this 50% barrier on any valuation date, investors receive zero coupon payment on the corresponding payment date.

This contingency structure creates significant yield uncertainty. The disclosure states that the actual yield may be lower than yields on conventional Citigroup debt securities of the same maturity because investors may not receive one or more contingent coupon payments. If any underlying declines sharply early in the security's term, the entire contingent coupon stream could cease for the remainder of the holding period. The filing emphasizes that each contingent coupon payment is dependent solely on the worst performing underlying maintaining a value above the 50% threshold, making the income stream highly sensitive to market volatility and concentrated equity risk.

Maturity and Capital Return Provisions

At maturity on August 2, 2029, unless the securities are previously redeemed, investors receive an amount dependent on the final underlying value of the worst performing ETF on the final valuation date of July 30, 2029. If this final value is greater than or equal to the final barrier value (also set at 50% of the initial underlying value), investors receive the full stated principal amount of $1,000 per security, in addition to any applicable final contingent coupon payment. This scenario represents the only outcome where investors receive full return of capital.

Conversely, if the worst performing underlying closes below its final barrier value of 50% on the final valuation date, investors do not receive full principal. Instead, they receive a fixed number of underlying shares of the worst performing ETF equal to the equity ratio (defined as stated principal amount divided by the initial underlying value), or, at Citigroup's sole discretion, the cash equivalent based on the final underlying value. The filing explicitly warns that under this scenario, the value received at maturity "may be significantly less than the stated principal amount" and "possibly nothing." This capital loss exposure represents a fundamental risk distinguishing these securities from conventional debt instruments.

Embedded Call Right and Redemption Structure

Citigroup Global Markets Holdings Inc. retains the right to call the securities for mandatory redemption on any of several potential redemption dates, with not less than three business days' notice required. The potential redemption dates are tied to the contingent coupon payment dates scheduled for February 1, 2027, April 30, 2027, July 30, 2027, and subsequent dates through July 30, 2029. Upon exercise of the call right, investors receive $1,000 in cash plus any applicable contingent coupon payment due on that date, but no additional compensation or make-whole payment.

This redemption feature introduces timing uncertainty for investors. If the worst performing underlying appreciates significantly and interest rates decline, Citigroup would have an economic incentive to call the securities, capping investors' upside and forcing reinvestment in a potentially lower-yield environment. Conversely, if the worst performing underlying declines substantially and contingent coupon payments cease, investors cannot force redemption and must hold until maturity, facing potential principal loss. The call right is exercisable at Citigroup's sole discretion, creating an asymmetric risk structure favoring the issuer.

Valuation at Pricing and Estimated Fair Value

The issue price for the securities is $1,000 per security, and Citigroup Global Markets Holdings Inc. expects the estimated value of the securities on the pricing date to be at least $906.50 per security. This valuation estimate, disclosed in the pricing supplement, is lower than the issue price by approximately $93.50 per security, representing a built-in markdown of approximately 9.35%. The estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate.

The filing explicitly states that this estimated value 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 underscores that the securities may trade well below issue price in the secondary market and that liquidity is not guaranteed. Investors purchasing at the $1,000 issue price should expect that the market value immediately declines, reflecting the embedded costs of hedging, the embedded derivatives, and the underwriting fees.

Underwriting Fees and Distribution Economics

Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, is acting as the principal underwriter. The total underwriting fee is $18.50 per security sold, with the per-security proceeds to the issuer being $981.50. From the underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a selling concession of $17.50 per security and a structuring fee of up to $1.00 per security. Additionally, CGMI will pay fees to electronic platform providers for each security sold where related dealers or custodians implement or utilize such platforms.

Beyond the stated underwriting fee, the filing discloses that CGMI and its affiliates may profit from expected hedging activity related to this offering, "even if the value of the securities declines." This provision highlights a potential conflict of interest: the underwriter benefits from hedging regardless of subsequent market performance, creating incentives that may not align with investor interests. The combination of upfront underwriting fees, ongoing hedging profits, and platform fees means that the issuer and underwriter benefit substantially at the point of issuance and during the holding period, independent of whether the securities ultimately deliver positive returns to investors.

Credit Risk and Guarantee Structure

All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of the issuer Citigroup Global Markets Holdings Inc. The filing emphasizes that "investors in the securities must be willing to accept" the "risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations." This language makes explicit that despite the guarantee, investors bear Citigroup's credit risk. The securities are unsecured obligations, meaning they are not backed by specific collateral and rank pari passu with other unsecured debt obligations of Citigroup.

The filing also 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, nor are they obligations of, or guaranteed by, a bank." This clarification is legally required but underscores that investors have no government insurance protection and that these instruments carry credit risk fundamentally different from bank deposits. Investors evaluating the securities must assess not only the market risks tied to the three ETF underlyings but also the credit quality and financial stability of Citigroup Inc. as the guarantor.

Absence of Dividend Participation and Liquidity Limitations

The filing explicitly states that investors "will not receive dividends with respect to any underlying or participate in any appreciation of any underlying." This language is critical: even if one or more of the three ETFs appreciate significantly during the holding period, investors receive no upside participation beyond the 50% barrier threshold at maturity. The equity ratio mechanism only allows for return of the fixed number of shares if the worst performing underlying declines below 50%; it does not provide for participation in gains. This structure severely limits the upside potential relative to the downside risk.

Additionally, the filing states that "the securities will not be listed on any securities exchange" and warns that investors must accept "an investment that may have limited or no liquidity." This absence of exchange listing means there is no guaranteed secondary market, and investors seeking to exit before maturity may face significant difficulty in finding willing buyers. Any secondary market trading would occur over-the-counter and would be subject to wide bid-ask spreads and potentially unfavorable pricing, particularly if market conditions deteriorate or the underlyings decline sharply.

Valuation Dates and Market Disruption Provisions

The securities include thirteen valuation dates scheduled for October 30, 2026, February 1, 2027, April 30, 2027, July 30, 2027, November 1, 2027, January 31, 2028, May 1, 2028, July 31, 2028, October 30, 2028, January 30, 2029, April 30, 2029, and July 30, 2029 (the final valuation date). Each date is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. The filing does not provide detailed specifications of what constitutes a "market disruption event," leaving some ambiguity regarding the conditions under which valuation dates may be adjusted.

The contingent coupon payment dates are scheduled for the third business day after each valuation date, except that the contingent coupon payment following the final valuation date occurs on the maturity date itself. This timing structure means that investors should carefully track the official valuation dates and understand that postponements could affect the timing of coupon payments. The reliance on closing values on specific dates creates a discrete sampling risk: if the worst performing underlying is depressed on a valuation date due to short-term volatility, investors lose the entire contingent coupon for that quarter, regardless of the underlying's subsequent recovery.

Risk Profile and Investor Suitability Considerations

The securities embed multiple layers of risk that distinguish them sharply from conventional fixed-income instruments. Investors face equity market risk on three separate underlyings simultaneously, but with asymmetric exposure: they bear downside risk on the worst performing of the three but receive no upside participation. The use of a worst-of structure concentrates risk, as declines in any single underlying can trigger the loss of all contingent coupons and potential principal loss, regardless of the performance of the other two underlyings. The coupon barrier set at 50% of initial value means that even moderate declines in the worst performing underlying can eliminate income payments for the remainder of the holding period.

The filing warns that the investment involves "risks not associated with an investment in conventional debt securities" and identifies a summary risk factors section beginning on page PS-6 of the pricing supplement. Investors should carefully review these risk factors before committing capital. The structure is suitable only for investors with significant equity risk tolerance, long-term holding periods, no need for regular income, and the financial capacity to absorb potential principal loss. Retail investors seeking stable income or preservation of capital should avoid these securities. The estimated market value of at least $906.50 per security, compared to the $1,000 issue price, indicates that the market has immediately assigned approximately 9.35% of value to the embedded option costs and hedging expenses, reflecting the complexity and risks inherent in the structure.