Citigroup Introduces Callable Contingent Coupon Equity Linked Securities with Exposure to Multiple Major Indices

Security Structure and Coupon Payment Conditions

The offering features a complex structured product where coupon payments are contingent on performance thresholds rather than fixed amounts. Monthly valuation dates from August 2026 through January 2028 assess the closing levels of all three indices to identify the worst performer. If this index trades at or above 70% of its initial value (the coupon barrier), investors receive a contingent coupon payment of at least 1.0083% of principal, equating to roughly 12.10% annualized. Should the worst performing index fall below this barrier on any valuation date, no coupon payment is made for that period.

Nineteen valuation dates are scheduled over the life of the securities, with coupon payments due three business days after each valuation date. The final contingent coupon payment follows the January 31, 2028 valuation date and coincides with the February 3, 2028 maturity date. Investors may receive up to nineteen coupon payments, each dependent on the worst performing index remaining above the 70% barrier. The final coupon rate was not disclosed in the pricing supplement and will be determined on the pricing date.

Callable Redemption Features

Citigroup Global Markets Holdings Inc. holds the right to call the securities for mandatory redemption on sixteen specified dates, starting with the October 29, 2026 valuation date and continuing through the December 29, 2027 valuation date. Upon calling, the issuer must provide at least three business days' notice. Investors would receive $1,000 per security plus any applicable contingent coupon payment, removing downside risk once called.

This callable feature allows the issuer to manage liability exposure amid market volatility, particularly if indices perform strongly and require ongoing coupon payments. For investors, this introduces reinvestment risk and uncertainty over the holding period and ultimate yield.

Principal Risk and Maturity Payouts

Investors face significant principal risk linked to the worst performing index. If the final value of this index on the last valuation date is at or above 70% of its initial value, investors receive the full $1,000 principal at maturity. If it closes below this barrier on January 31, 2028, the maturity payment equals $1,000 plus or minus $1,000 multiplied by the index’s return, which could result in receiving as little as zero if the index declines severely.

The filing warns that investors may lose more than 30% of principal and forfeit the final contingent coupon payment if the index closes below the barrier. This creates asymmetric risk: limited upside capped at principal repayment with no equity appreciation, and potentially substantial downside losses. The securities do not provide dividend payments or participation in index appreciation.

Valuation and Pricing Insights

Citigroup Global Markets Holdings Inc. estimates the securities’ value at no less than $940 per security on the pricing date, below the $1,000 issue price. This $60 valuation gap reflects the issuer’s embedded call option and the contingent coupon structure’s complexity. The estimate is based on proprietary pricing models and internal funding rates, and does not indicate affiliate profits or secondary market prices.

The discrepancy between estimated value and issue price is a key consideration for investors assessing the offering’s attractiveness. The filing does not disclose assumptions on volatility, index correlations, or other inputs used in pricing.

Underwriting Fees and Distribution

Citigroup Global Markets Inc., an affiliate of the issuer, serves as principal underwriter, charging up to $6.00 per security sold. Net proceeds to the issuer are expected to be at least $994 per security after fees. Additionally, up to $1.50 per security may be paid to electronic platform providers when dealers and custodians use such platforms. The underwriter and affiliates may also profit from hedging activities regardless of the securities’ market performance.

This compensation structure presents potential conflicts of interest, as underwriting fees and hedging profits incentivize issuance irrespective of investor returns. The filing does not quantify expected hedging profits or detail hedging strategies.

Credit Risk and Guarantee Details

All payments under the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of Citigroup Global Markets Holdings Inc. While this guarantee offers recourse to a major financial institution, it does not eliminate credit risk, which remains tied to both the issuer and guarantor. The filing does not discuss Citigroup Inc.’s credit ratings or implications if both entities face financial distress.

The guarantee covers all payments including contingent coupons and principal but does not mitigate market risk associated with the underlying indices. Investors assume both credit and full market risk.

Liquidity and Secondary Market Risks

The securities will not be listed on any exchange, resulting in limited or no liquidity outside dealer-arranged secondary market transactions. Investors must be prepared for potential illiquidity and secondary market prices that may differ significantly from initial valuations. The filing provides no guidance on bid-ask spreads, trading frequency, or dealer market-making commitments.

This unlisted status poses operational risks for investors needing to liquidate prior to maturity or redemption, as liquidity depends entirely on dealer willingness to quote prices. Structured products of this complexity often trade infrequently, possibly forcing extended holding periods or significant price concessions.

Index Selection and Worst-Performing Index Methodology

Returns are based on the worst performing of the Dow Jones Industrial Average, Nasdaq-100 Index, and S&P 500 Index. The worst performing index is identified by the lowest percentage return from initial values set on the pricing date through each valuation date. This method means that even if two indices perform well, a single weak index can determine coupon payments and maturity returns, potentially resulting in missed coupons despite broad market strength.

The filing notes valuation dates may be postponed due to market disruption events or non-trading days but does not define such events or explain handling of extended delays.

Investor Risks and Disclosure Summary

The filing thoroughly outlines risks including potential zero coupon payments, principal losses exceeding 30%, and issuer redemption before maturity. Investors bear risks tied to each underlying index, with adverse performance in any single index affecting overall returns.

These securities are not bank deposits, are not insured by the FDIC or any government agency, and do not provide dividend or appreciation participation despite their equity-linked nature, differentiating them from direct equity investments.

Offering Timeline and Important Dates

The pricing date is July 29, 2026, the issue date is August 3, 2026, and maturity is set for February 3, 2028, spanning approximately nineteen months. The first valuation date is August 31, 2026, with subsequent monthly valuation dates through January 31, 2028, totaling nineteen measurement points for coupon determination.

Redemption dates begin with the October 29, 2026 valuation date and continue through December 29, 2027, giving the issuer sixteen opportunities to call the securities. Understanding these dates is essential for evaluating coupon payments and potential early redemption risks.