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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., has filed a preliminary pricing supplement outlining the terms for a new series of Callable Contingent Coupon Equity Linked Securities tied to the worst-performing index among three major U.S. equity benchmarks: the Dow Jones Industrial Average, the Nasdaq-100 Index, and the Russell 2000 Index. These securities, issued as Medium-Term Senior Notes, Series N, have a stated maturity date of June 23, 2028, and offer a contingent coupon rate of approximately 12.50% per annum, contingent upon index performance. The filing, dated July 15, 2026, highlights that the notes are unsecured debt obligations of the issuer, fully and unconditionally guaranteed by Citigroup Inc. Investors should be aware of the complex risks involved, including the possibility of receiving no coupon payments and potential loss of principal at maturity depending on the performance of the worst-performing underlying index over the term of the securities.
Key Points
- NASDAQ: C-PR 12D Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc.
- Preliminary pricing supplement filed for Callable Contingent Coupon Equity Linked Securities linked to the worst-performing index among the Dow Jones Industrial Average, Nasdaq-100 Index, and Russell 2000 Index, maturing June 23, 2028.
- Contingent coupon rate approximately 12.50% per annum (1.0417% per valuation period); stated principal amount of $1,000 per security; coupon and final barrier values set at 70.00% of initial underlying values; estimated pricing date value at least $936.50 per security.
- Issuer holds call rights exercisable on specified potential redemption dates from October 2026 through May 2028; securities will not be listed on any exchange.
Citigroup Global Markets Holdings and Series N Medium-Term Notes Structure
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., one of the largest U.S. financial services firms, acts as the issuer for various structured debt products distributed through Citigroup Global Markets Inc. (CGMI), which serves as underwriter. The securities detailed in this preliminary pricing supplement are categorized as Medium-Term Senior Notes, Series N, under Pricing Supplement No. 2026-USNCH33132, filed pursuant to Rule 424(b)(2) under registration numbers 333-293732 and 333-293732-02.
The filing confirms that all payments on these securities are fully and unconditionally guaranteed by Citigroup Inc., offering additional credit support beyond the issuer. Nonetheless, investors remain subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.; a default by either could result in non-payment. Understanding the issuer’s role within the Citigroup group is essential to grasping the nature of this offering.
Three-Index Worst-Performer Mechanism and Coupon Payment Conditions
The notes are linked to the worst-performing index among the Dow Jones Industrial Average, Nasdaq-100 Index, and Russell 2000 Index. The "worst performing underlying" is defined as the index with the lowest return on each valuation date. This structure means that poor performance in any one index, regardless of others’ performance, determines coupon payments and principal repayment outcomes.
The contingent coupon, equal to 1.0417% of the principal per period (about 12.50% annually), is payable only if the worst-performing index’s closing value on the preceding valuation date is at or above its coupon barrier, set at 70.00% of its initial value. If the worst-performing index closes below this barrier, no coupon is paid for that period.
Valuation Dates and Maturity Terms
The filing details 23 valuation dates from August 20, 2026, to June 20, 2028, with the final valuation date determining maturity payoffs. Coupon payments occur on the third business day after each valuation date, with the final coupon paid on the maturity date, June 23, 2028.
Valuation dates may be postponed due to non-trading days or market disruptions, consistent with standard provisions for exchange-linked notes. The stated principal is $1,000 per security, with an issue date of July 23, 2026, three days after the pricing date of July 20, 2026.
Principal Protection and Final Barrier at Maturity
At maturity, if not previously redeemed, investors receive $1,000 plus any final contingent coupon if the worst-performing index’s final value is at or above 70.00% of its initial value. If below this final barrier, investors receive $1,000 multiplied by the underlying return of the worst-performing index, which could result in principal loss, potentially significant or total. The filing explicitly warns that investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity" if the barrier is breached.
Issuer Call Rights and Redemption Schedule
Citigroup Global Markets Holdings Inc. may call the notes for mandatory redemption in full on any of 20 potential redemption dates from October 20, 2026, through May 22, 2028, corresponding to contingent coupon payment dates. The issuer must provide at least three business days’ notice before exercising this right.
Upon call, investors receive $1,000 plus any applicable contingent coupon. The filing does not specify criteria for call decisions, leaving the timing at the issuer’s discretion. This feature introduces an asymmetry investors must consider when assessing the notes.
Estimated Pricing Value and Distribution Fees
The estimated value of the securities on the pricing date is at least $936.50 per note, below the $1,000 issue price. This difference reflects selling concessions, structuring fees, and internal funding costs embedded in CGMI’s pricing models. The filing clarifies this estimated value does not indicate CGMI’s profit or any secondary market price.
CGMI will pay selected dealers up to $3.75 per security as a structuring fee, service providers up to $3.50 per security for marketing and related services, and electronic platform providers up to $1.50 per security when applicable. These fees contribute to the overall cost embedded in the offering price.
Liquidity Constraints and Exchange Listing Status
The notes will not be listed on any securities exchange, resulting in limited or no formal secondary market liquidity. Investors should be prepared to hold the securities until maturity or issuer call, as exiting positions early may involve unfavorable terms.
While CGMI may facilitate a secondary market, there is no obligation or assurance that prices will reflect estimated value or issue price. This lack of guaranteed liquidity and below-issue-price estimated value are important considerations for investors.
Dividend Exclusion and Downside Risk Exposure
Investors will not receive dividends from the underlying indexes nor participate in any index appreciation beyond the contingent coupon payments. Even if all three indexes rise substantially, returns are capped at the coupon rate.
Conversely, investors bear full downside risk tied to the worst-performing index if the final barrier is breached. This structural asymmetry means losses are concentrated on the worst index while gains are limited, reflecting the trade-off for higher potential yield.
Credit Risk and FDIC Insurance Exclusion
The securities are not bank deposits and are not insured or guaranteed by the FDIC or any government agency, nor are they bank obligations. Payment depends solely on the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc. Defaults by either entity could result in non-payment of coupons or principal.
This dual credit risk means the three-index diversification does not mitigate issuer credit risk.
Registration, Regulatory Status, and Preliminary Supplement Disclaimer
The preliminary pricing supplement is filed under Rule 424(b)(2) with registration numbers 333-293732 and 333-293732-02. It is incomplete and subject to change and does not constitute an offer in jurisdictions where prohibited. It should be read alongside related product and prospectus supplements.
The SEC and state securities commissions have neither approved nor disapproved the securities or verified the supplement’s accuracy. Any contrary representation is a criminal offense. These disclosures establish the legal framework for the offering as of the July 15, 2026, preliminary supplement.
