Citigroup Launches Callable Contingent Coupon Securities Linked to Nasdaq-100, Russell 2000, and S&P 500

Structure and Underlying Indices

The securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc., with a full and unconditional guarantee from Citigroup Inc. The disclosure filed July 28, 2026, reveals that the investment's returns are contingent on the performance of three equity indices: the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index. Critically, the terms specify that investors will be exposed to the "worst performing" of these three underlyings, meaning that even if two of the three indices perform favorably, negative movement in the third will determine the securities' payoff structure.

Each underlying has an initial value established on the pricing date of August 5, 2026, which serves as the reference point for calculating returns throughout the security's life. The filing indicates that the coupon barrier is set at 70% of each underlying's initial value, while the final barrier is set at 60% of initial value. These barrier levels are critical thresholds: if the worst performing underlying trades below the coupon barrier on any valuation date, investors will not receive a contingent coupon payment on the following payment date. Should the worst performing underlying close below 60% of its initial value on the final valuation date, investors will experience principal loss at maturity.

Contingent Coupon Payment Terms and Valuation Schedule

The contingent coupon payment structure represents the primary attraction to yield-seeking investors. The filing states that on each contingent coupon payment date, unless the securities have been previously redeemed, investors will receive a contingent coupon equal to 1.00833% of the stated principal amount if and only if the worst performing underlying's closing value is greater than or equal to its coupon barrier value on the immediately preceding valuation date. This translates to an approximate annualized coupon rate of 12.10%, which the disclosure characterizes as higher than conventional debt securities of the same maturity issued by Citigroup.

The security features thirty-eight scheduled valuation dates beginning September 8, 2026, and continuing monthly through the final valuation date of August 6, 2029. The announcement specifies that contingent coupon payment dates occur the third business day after each valuation date, with the final contingent coupon payment (if earned) coinciding with the maturity date of August 9, 2029. Each valuation date is subject to postponement if it is not a scheduled trading day or if certain market disruption events occur. The frequency of monthly valuations means that investors' coupon payments depend on thirty-eight separate assessments of index performance, introducing substantial path dependency into the investment outcome.

Principal Repayment and Maturity Scenarios

The maturity payment structure establishes two distinct outcomes based on the final underlying value of the worst performing index. If the worst performing underlying closes at or above 60% of its initial value on the final valuation date, investors will receive full principal of $1,000 per security (in addition to any final contingent coupon earned). However, if the worst performing underlying closes below 60% on the final valuation date, investors will receive $1,000 plus an amount equal to $1,000 multiplied by the underlying return of the worst performing index. Given that an underlying return would be negative if the index fell below its initial value, this scenario produces principal repayment of less than $1,000.

The disclosure explicitly warns that under the second scenario, investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity." The filing does not provide numerical projections of potential losses under various market stress scenarios. The filing emphasizes that investors will not receive any contingent coupon payment at maturity if the final valuation result triggers principal loss, effectively exposing investors to the dual risk of losing coupon income and experiencing principal erosion simultaneously if market conditions deteriorate meaningfully during the security's three-year term.

Valuation and Estimated Market Value on Pricing Date

The announcement discloses critical information regarding the estimated fair value of the securities at issuance. Citigroup Global Markets Holdings Inc. currently expects that the estimated value of the securities on the pricing date will be at least $941.00 per security, compared to the $1,000.00 issue price. This $59 per-security markdown reflects the market value of the embedded risks, including the contingency structure of coupons, the exposure to worst-performer dynamics, and the possibility of principal loss. The filing notes that the estimated value is based on Citigroup Global Markets Inc.'s (the underwriter's) proprietary pricing models and its internal funding rate.

The disclosure contains an important caveat regarding this valuation estimate. The filing explicitly states that the 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 signals to investors that the estimated value represents a theoretical calculation rather than a binding bid or market consensus, and that secondary market liquidity may be limited or unavailable at any particular price.

Callable Feature and Early Redemption Rights

The securities include a callable feature that grants Citigroup Global Markets Holdings Inc. the right to redeem the securities in whole (but not in part) on any of the designated potential redemption dates. These dates correspond to the contingent coupon payment dates related to valuation dates scheduled for February 5, 2027, through July 5, 2029—twenty-five potential redemption dates spanning the security's life. The issuer must provide not less than three business days' notice to exercise the call right. Upon redemption, investors receive $1,000 plus any contingent coupon payment due on that date.

The callable feature creates asymmetric risk for investors. If market conditions strengthen and the underlyings appreciate, Citigroup is likely to exercise the call and redeem the securities at par, allowing the issuer to refinance at lower rates. Conversely, if market conditions weaken and the worst performing underlying approaches the 60% final barrier, the issuer has no incentive to call the securities and will likely allow them to mature, exposing investors to potential principal loss. The filing does not disclose Citigroup's internal benchmarks or methodology for determining when redemption will be economically advantageous.

Liquidity and Trading Constraints

The announcement explicitly states that the securities will not be listed on any securities exchange. This non-listing status substantially constrains liquidity and tradability. The filing warns that investors must be willing to accept "an investment that may have limited or no liquidity." The underwriter, Citigroup Global Markets Inc., is an affiliate of the issuer, and the disclosure provides no commitment regarding secondary market making, pricing, or bid-ask spreads for these securities after issuance. For investors seeking to liquidate positions prior to maturity, the ability to execute sales and the prices achievable in secondary market transactions remain wholly uncertain.

The absence of exchange listing combined with the complex, path-dependent payoff structure typical of structured products suggests that any secondary trading would occur through over-the-counter channels with significant bid-ask spreads and likely minimal liquidity. The filing's emphasis on limited liquidity serves as a material warning that these securities are designed for buy-and-hold investors with a three-year investment horizon rather than traders seeking short-term portfolio adjustments.

Worst-Performer Mechanism and Multi-Index Downside Exposure

A defining feature of these securities is the worst-performer structure, which creates a mathematical headwind for investors. The announcement states clearly: "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." Unlike a basket instrument where three underlyings might be equally weighted, the worst-performer design means that positive performance in two indices cannot offset negative performance in the third. If the Nasdaq-100 rises 10%, the Russell 2000 rises 15%, but the S&P 500 declines 8%, the S&P 500's 8% decline determines whether a contingent coupon is paid on that valuation date.

The filing notes that although investors have downside exposure to the worst performing underlying, they "will not receive dividends with respect to any underlying or participate in any appreciation of any underlying." This asymmetric structure means investors capture losses if any index declines but forgo gains if all indices appreciate. The disclosure does not provide historical analysis comparing worst-performer index returns to equally-weighted or value-weighted alternatives, but the structure mathematically disadvantages investors relative to holding the indices directly or in diversified form.

Credit Risk and Guarantee Structure

The disclosure emphasizes that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." While Citigroup Inc. provides a full and unconditional guarantee of all payments due on the securities, this guarantee is only as strong as Citigroup Inc.'s creditworthiness. The filing does not disclose Citigroup Inc.'s current credit rating, credit spreads, or leverage ratios. The announcement warns 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."

The guarantee structure means that investors bear both market risk (via the worst-performer index exposure) and credit risk (via Citigroup's ability to perform on its obligations). Unlike conventional equity investments where bankruptcy does not diminish the underlying assets' value, a credit deterioration or default by Citigroup would result in direct loss of principal and coupon payments. The filing provides no detail regarding credit enhancement mechanisms, collateral, or subordination relative to other Citigroup obligations.

Distribution Terms and Underwriter Compensation

The filing discloses the compensation structure for the underwriter and distribution channels. Citigroup Global Markets Inc., acting as principal underwriter, will pay selected dealers a structuring fee of up to $4.50 for each security sold. Additionally, the announcement states that "CGMI will pay to one or more electronic platform providers a fee for each security sold in this offering where related selected dealers and/or custodians implement or utilize such providers." These fees represent additional costs borne indirectly by investors through reduced effective proceeds to the issuer.

The disclosure further notes that "CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines." This statement acknowledges that the underwriter and its affiliates will conduct delta-hedging and other risk management activities as the issuer, and these hedging profits are separate from and may exceed the issuer's profit margin. The pricing summary indicates that the underwriting fee is explicitly listed as "—" (zero), suggesting that dealer compensation is embedded within the bid-ask spread and structuring fees rather than stated as an upfront charge.

Risk Disclosures and Investor Suitability

The announcement directs investors to review detailed risk factors beginning on page PS-6, though the full text of those risk factors is not included in the July 28, 2026, pricing supplement filing. The preliminary pricing supplement format indicates that a final prospectus with comprehensive risk disclosure will follow completion of pricing. The filing emphasizes early and repeatedly that these securities are fundamentally different from conventional debt: they offer higher potential yield in exchange for acceptance of structured risks that include contingent coupon suspension, principal loss, and embedded call optionality.

The disclosure includes standard warnings 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 language clarifies that FDIC deposit insurance provides no protection and that despite Citigroup's status as a major financial institution, these debt securities lack the protections afforded to bank deposit products. The filing structure and language suggest these securities are intended for institutional or sophisticated retail investors with specific yield objectives and tolerance for structured product complexity and risks.