AUS
NZ
UK
CA
USA
IND
Citigroup Global Markets Holdings Inc. has announced a preliminary pricing supplement for a new issuance of Callable Contingent Coupon Equity Linked Securities, structured as Medium-Term Senior Notes, Series N, maturing on August 3, 2029. These securities are linked to the worst-performing index among the Nasdaq-100, Russell 2000, and S&P 500, offering a contingent coupon rate of at least 9.60% annually, subject to certain conditions. Guaranteed by Citigroup Inc., the notes involve both equity downside and credit risks, making them a complex investment designed for investors seeking higher yields in exchange for significant principal risk. The pricing date is scheduled for July 31, 2026, with an issue date of August 5, 2026.
Key Points
- NASDAQ: C-PR — Issued by Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc.
- Preliminary pricing supplement launched for Callable Contingent Coupon Equity Linked Securities tied to the worst-performing of Nasdaq-100, Russell 2000, and S&P 500 indices, maturing August 3, 2029.
- Contingent coupon of minimum 9.60% per annum (2.40% quarterly); 15% principal buffer at maturity; estimated value at least $932.50 per $1,000 security; pricing date July 31, 2026.
- Investors will monitor the worst-performing underlying relative to a 70% coupon barrier and an 85% final buffer across 12 quarterly valuation dates through July 31, 2029.
Details of the Callable Contingent Coupon Equity Linked Securities Structure
The notes are unsecured senior debt obligations of Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. Each note has a stated principal of $1,000 and is offered at par, with a pricing date of July 31, 2026, and an issue date of August 5, 2026.
This structure aims to provide investors with potentially higher yields compared to traditional fixed-income securities of similar maturity. However, this comes with significant trade-offs, including the possibility of no coupon payments during some periods and substantial principal loss at maturity. The performance of the Nasdaq-100, Russell 2000, and S&P 500 indices is tracked, with outcomes determined solely by the worst-performing index at each valuation date.
Contingent Coupon Features and 70% Coupon Barrier
The notes offer a contingent coupon of at least 2.40% of principal quarterly, equating to a minimum 9.60% annualized rate, with the exact rate set on the pricing date. Coupons are paid only if the worst-performing underlying’s closing value on the valuation date is at or above 70% of its initial closing value on the pricing date.
If the worst-performing underlying closes below this 70% coupon barrier on any valuation date, no coupon payment will be made for that period. There are twelve valuation dates from November 2, 2026, through July 31, 2029, with coupon payments made on the third business day after each valuation date.
Principal Repayment and 15% Final Buffer Protection
At maturity on August 3, 2029, if the notes have not been called earlier, investors will receive the full $1,000 principal if the worst-performing underlying’s final closing value is at least 85% of its initial value, providing a 15% principal buffer against moderate declines.
If the worst-performing underlying falls more than 15% below its initial value at maturity, investors will lose 1% of principal for every 1% decline beyond the 15% buffer, potentially resulting in significant principal loss. The filing clearly states that investors may receive substantially less than the $1,000 principal in such scenarios.
Issuer’s Early Call Rights
Citigroup Global Markets Holdings Inc. may redeem the notes early in full on any of ten possible redemption dates aligned with coupon payment dates from February 1, 2027, through April 30, 2029. Upon early call, investors receive $1,000 plus any contingent coupon if the coupon barrier condition is met. The issuer must provide at least three business days’ notice before calling the notes.
This call feature introduces reinvestment risk, as early redemption could occur during favorable market conditions when coupons are paid, potentially limiting investors’ ability to reinvest at similar yields.
Estimated Valuation Below Issue Price at Launch
Citigroup Global Markets Holdings Inc. estimates the fair value of the notes on the pricing date will be at least $932.50 per $1,000 note, below the $1,000 issue price. This estimate is based on proprietary pricing models and internal funding rates and reflects embedded costs such as underwriting fees and hedging expenses.
The estimated value does not represent actual profit for CGMI or its affiliates, nor the secondary market price, which may be lower. Investors should be aware that the notes’ market value soon after issuance could be significantly below the purchase price.
Underwriting Fees and Distribution Expenses
CGMI, acting as principal underwriter, will receive up to $15.00 per note sold, including a variable selling concession of up to $15.00 paid to selected non-affiliated dealers and a structuring fee of up to $4.50 per note sold by these dealers. The issuer will net $985.00 per note after underwriting fees.
Additional fees will be paid to electronic platform providers for sales through certain dealers or custodians, contributing to the difference between issue price and estimated fair value.
Credit Risk and Guarantor Role of Citigroup Inc.
Payments on the notes depend on the creditworthiness of both Citigroup Global Markets Holdings Inc. and its parent guarantor, Citigroup Inc. The notes are unsecured senior obligations without collateral, ranking alongside the issuer’s general creditors. In case of default or insolvency, investors may lose some or all payments.
The notes are not bank deposits, are not FDIC insured, and are not guaranteed by any bank or government agency, exposing investors directly to the financial strength of the issuer and guarantor throughout the notes’ term.
Liquidity Constraints and Secondary Market Risks
The notes will not be listed on any securities exchange, limiting liquidity and making it potentially difficult for investors to sell before maturity or early redemption. CGMI may, but is not obligated to, maintain a secondary market, with prices reflecting proprietary models and possibly differing from other market participants’ valuations.
Given the estimated value below issue price at pricing, early secondary market prices could be substantially lower than the purchase price, posing risks for investors needing liquidity before maturity.
Risks Linked to the Worst-Performing Index Among Three Major Benchmarks
The notes’ "worst-of" feature means both coupon eligibility and principal repayment depend solely on the weakest-performing index among Nasdaq-100, Russell 2000, and S&P 500. Investors bear downside risk from all three indices but receive no dividends or upside participation.
This asymmetric risk profile—full downside exposure to the worst performer without any appreciation benefit—distinguishes the notes from direct equity or simple bond investments.
Important Dates Defining the Notes’ Timeline
The pricing date is July 31, 2026, when initial underlying values and coupon rates are finalized. The issue date is August 5, 2026. The first valuation date is November 2, 2026, starting the first coupon observation period, with subsequent quarterly valuation dates through July 31, 2029. The maturity date is August 3, 2029.
Valuation dates may be postponed due to non-trading days or market disruptions. Coupon payments occur on the third business day after each valuation date. Potential redemption dates begin with the coupon payment date following the February 1, 2027 valuation and continue through the April 30, 2029 coupon payment date, providing the issuer multiple early call opportunities.
