Citigroup Launches Five-Year Equity-Linked Securities With Contingent Coupons Tied to Three Major Market Indices

Structured Product Terms and Underlying Index Performance Mechanics

The securities are medium-term senior notes issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by the parent company. The offering links investor returns to the worst-performing of three widely tracked equity indices: the Dow Jones Industrial Average, the Russell 2000 Index, and the S&P 500 Index. This worst-of structure means that regardless of how the other two indices perform, investors will receive returns based solely on whichever index declines the most or appreciates the least. The pricing date for the securities is set for July 29, 2026, with an issue date of August 3, 2026, and a stated principal amount of $1,000 per security.

The contingent coupon payment mechanism operates on a monthly or near-monthly schedule with valuation dates extending from August 31, 2026, through April 29, 2031—a total of 40 scheduled valuation dates designed to capture market performance across nearly the full five-year tenor. On each valuation date, the closing value of the worst-performing underlying index is compared to its coupon barrier value, which is set at 75.00% of the initial underlying value established on the pricing date. If the worst-performing index closes at or above this 75% coupon barrier on any valuation date, investors receive a contingent coupon payment equal to at least 0.7917% of the stated principal amount on the corresponding payment date. However, if the worst-performing index falls below the coupon barrier on any valuation date, investors receive no contingent coupon payment for that period.

Maturity Payout Structure and Principal Protection Levels

At maturity on May 2, 2031, or upon earlier call redemption, the principal repayment to investors depends critically on the final valuation date measurement of April 29, 2031. If the worst-performing underlying index closes at or above its final barrier value—defined as 60.00% of its initial underlying value on the pricing date—investors will receive the full $1,000 stated principal amount plus any applicable final contingent coupon payment. This 60% final barrier represents a meaningful protection threshold, as it allows investors to recover full principal even if the worst-performing index has declined by up to 40% over the five-year period.

However, if the worst-performing underlying index falls below its 60% final barrier value on the final valuation date, investors will receive significantly less than the stated principal amount, with the payment calculated as $1,000 plus the underlying return of the worst-performing index applied to the principal. In scenarios where the worst-performing index has declined substantially—particularly if it drops below its initial value by more than 100%—investors could receive zero or near-zero returns at maturity. This downside risk is the primary tradeoff for the higher contingent coupon payments, as the disclosure explicitly states that investors will not receive any contingent coupon payment at maturity if the final underlying value is below the final barrier value.

Valuation Framework and Pricing Methodology Applied by Citigroup

Citigroup Global Markets Holdings Inc. disclosed that the estimated value of the securities on the pricing date will be at least $926.00 per security, which represents a discount of $74.00 or approximately 7.4% to the $1,000 issue price. The company states that this estimated value is based on its proprietary pricing models and internal funding rate, and it explicitly disclaims that this estimate represents an indication of actual profit to Citigroup Global Markets Inc. or other affiliates, nor does it indicate the price at which any party may be willing to purchase the securities from investors in the secondary market after issuance. This significant gap between issue price and estimated intrinsic value reflects the structural complexity and embedded risks of the product, including the cost of the embedded call option and the downside equity exposure.

The valuation methodology employed by Citigroup incorporates assumptions about implied volatility, interest rates, dividend yields, and correlation among the three equity indices. The disclosure notes that the estimated value is based on internal funding costs, which typically are lower than the costs at which the securities might be hedged in external markets. Investors should recognize that the initial discount from par reflects compensation for the risks they assume, and that secondary market pricing could diverge substantially from both the issue price and the estimated value depending on subsequent market conditions and the remaining contingent coupon payments.

Contingent Coupon Payment Conditions and Barrier Monitoring

The contingent coupon rate is set at approximately 9.50% per annum, which if paid in full at every valuation date would produce an attractive yield to maturity significantly higher than conventional five-year senior debt of comparable credit quality. To earn this enhanced coupon, however, the closing value of the worst-performing underlying index must remain at or above its coupon barrier value of 75% on each valuation date. Given that the securities have 40 scheduled valuation dates over the five-year period, investors face substantial ongoing monitoring risk, as even a single breach of the coupon barrier on any valuation date will result in zero contingent coupon payment for that period. The probability of receiving all 40 contingent coupon payments depends on the joint probability that none of the three underlying indices falls below 75% of their respective initial values on any of the 40 measurement dates.

The structure creates asymmetric payoff characteristics: if any one of the three indices experiences a sharp correction below the 75% coupon barrier, all investors lose their contingent coupon for that period, regardless of the performance of the other two indices. This worst-of feature introduces what investors and market participants refer to as "concentration risk" or "worst-case performance risk." The disclosure explicitly warns that investors will be negatively affected by adverse movements in any one of the underlying indices and that they will not receive dividends with respect to any underlying or participate in any appreciation of any underlying beyond the final maturity payment.

Issuer Credit Risk and Guarantee Structure

All payments on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent holding company of Citigroup Global Markets Holdings Inc. This guarantee means that investors are exposed to the credit risk of both the issuer subsidiary and the guarantor parent company. If either entity were to default on its obligations, investors could fail to receive scheduled contingent coupon payments, final maturity payments, or redemption proceeds. The disclosure explicitly states that investors must be willing to accept the risk of not receiving any payments due under the securities if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, emphasizing that these are unsecured debt obligations with no collateral or priority claims.

The securities are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, and they are not obligations of or guaranteed by any bank, despite being issued by a Citigroup subsidiary. This means investors have no government deposit insurance protection or banking safety net backing these instruments. Investors must evaluate the credit quality of Citigroup Inc. as of the pricing date and monitor the issuer's financial condition throughout the five-year holding period, as deterioration in Citigroup's credit rating or financial position could result in downward repricing of the securities in any secondary market transactions.

Redemption Features and Investor Call Risk

Citigroup retains the right to call the securities for mandatory redemption, in whole and not in part, on any potential redemption date upon not less than three business days' notice to investors. The disclosure does not specify the exact dates on which redemption may occur, but the redemption schedule would typically be outlined in the underlying product supplement. Upon exercise of the call right, investors will receive cash equal to $1,000 plus any applicable contingent coupon payment due on the redemption date. This call feature is favorable to the issuer, as it allows Citigroup to terminate the securities if market conditions improve and the cost of issuing replacement securities declines, or if the securities become in-the-money and Citigroup wishes to eliminate further contingent coupon obligations.

From an investor perspective, the call feature introduces call risk: if the worst-performing index performs well and remains substantially above the coupon barrier throughout the holding period, making the securities likely to pay full principal at maturity, Citigroup could redeem the securities early and eliminate the remaining stream of attractive contingent coupon payments. Conversely, if the worst-performing index performs poorly, investors would not face early redemption, but they would suffer principal losses at maturity. This asymmetry favors the issuer and disadvantages investors, and the disclosure notes that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to the offering, even if the value of the securities declines.

Distribution Arrangements and Fee Structure for Dealers and Platforms

Citigroup Global Markets Inc., an affiliate of the issuer, acts as the principal underwriter of the offering with no stated underwriting discount. However, the company will pay selected dealers a structuring fee of up to $5.00 per security sold, and service providers engaged for marketing, education, structuring, or referral services with respect to financial advisors or selected dealers will receive fees of up to $5.00 per security. Additionally, Citigroup will pay electronic platform providers a fee of up to $1.50 per security for offerings sold where selected dealers or custodians utilize those platforms. These fees are embedded in the economics of the offering and effectively reduce net proceeds available to the issuer or increase the embedded cost of the securities to investors.

The distribution structure utilizes multiple channels including traditional dealers and electronic platforms, reflecting the modern evolution of structured product distribution. The use of platform providers and marketing service providers suggests that Citigroup intends to reach a broad range of retail and institutional investors, possibly through financial advisors and custodial platforms. The aggregate fees paid to dealers and service providers could total $11.50 per security in maximum scenarios, which further adds to the economic cost of the offering and reduces the estimated fair value of the securities relative to the $1,000 issue price.

Liquidity Constraints and Secondary Market Considerations

The disclosure explicitly states that the securities will not be listed on any securities exchange, meaning there will be no formal public trading market with transparent price discovery and continuous liquidity. Investors must be willing to accept an investment that may have limited or no liquidity, which means that selling the securities prior to maturity could be difficult or impossible, or could require accepting a significant discount to fair value if a sale becomes necessary. The absence of an exchange listing also means that price quotations and secondary market data will be opaque, making it challenging for investors to accurately assess the current market value of their holdings.

Secondary market transactions, if available at all, would likely be conducted over-the-counter through Citigroup Global Markets Inc. or other dealers at their discretion and at prices they determine. The estimated value of $926.00 per security on the pricing date is not binding, and Citigroup explicitly disclaims that this estimate represents the price at which it or any other person may be willing to purchase the securities from investors at any time after issuance. This lack of binding pricing and liquidity represents a material risk for investors who need to exit their positions before the May 2, 2031, maturity date.

Index Composition, Dividend Treatment, and Market Risk Exposure

The three underlying indices—the Dow Jones Industrial Average, the Russell 2000 Index, and the S&P 500 Index—represent different segments of the U.S. equity market. The Dow Jones Industrial Average comprises 30 large-cap blue-chip companies; the S&P 500 Index includes 500 large-cap and mid-cap companies; and the Russell 2000 Index includes approximately 2,000 small-cap companies. By tying the securities to the worst-performing of these three indices, investors obtain broad but asymmetric exposure to U.S. equity market performance across the entire market capitalization spectrum. However, the worst-of structure ensures that performance will be driven by whichever segment underperforms, potentially resulting in exposure to small-cap volatility if the Russell 2000 declines more than large-cap indices.

A critical feature disclosed in the materials is that investors will not receive dividends with respect to any underlying and will not participate in any appreciation of any underlying beyond the final maturity payment structure. This means that even if an underlying index appreciates significantly above its initial value, investors receive no benefit from that appreciation—they only receive the stated contingent coupon and, at maturity, return of principal or principal-plus-loss. The absence of dividend participation further reduces the effective yield on the securities relative to a direct investment in an index fund or exchange-traded fund that would capture dividend reinvestment. Additionally, investors bear full downside exposure to the worst-performing index, meaning they participate dollar-for-dollar in losses if the worst-performing index declines below the 60% final barrier value at maturity.

Registration Status and Regulatory Compliance Framework

The pricing supplement is filed pursuant to SEC Rule 424(b)(2) and references registration statement numbers 333-293732 and 333-293732-02, indicating that the securities have been registered under the Securities Act of 1933 and are being offered as part of a registered public offering. The pricing supplement is marked "SUBJECT TO COMPLETION, DATED JULY 23, 2026," which means that certain terms, including final pricing details and fee amounts, may be subject to revision before the final pricing supplement is issued. The final prospectus materials include the product supplement, underlying supplement, prospectus supplement, and base prospectus, all of which investors should review in their entirety to understand all material terms and risks.

The SEC disclaimer included in the document states that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that the pricing supplement and accompanying materials are truthful or complete. This standard language reminds investors that SEC registration does not constitute an endorsement or approval of the securities, and that investors must conduct their own independent analysis. The materials also note that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency.