Citigroup Introduces Trigger Callable Yield Notes Linked to Russell 2000 and S&P 500 with Monthly Coupons and Downside Risk

Details on Structure and Terms of Trigger Callable Yield Notes

The Trigger Callable Yield Notes are unsecured, unsubordinated debt instruments issued by Citigroup Global Markets Holdings Inc., backed by an unconditional guarantee from Citigroup Inc. The notes are linked to the performance of the worst performing of two major equity benchmarks: the Russell 2000 Index and the S&P 500 Index. The trade date is July 29, 2026, with settlement on July 31, 2026, and maturity set for October 29, 2027, approximately 15 months later.

Investors must purchase a minimum of 100 notes at $10.00 each. The coupon rate, established on the trade date, is expected to range between 9.75% and 10.35% annually, paid monthly starting August 31, 2026. Coupon payments will be made monthly regardless of underlying performance unless the issuer calls the notes early. This steady income stream distinguishes these notes from traditional equity-linked notes.

Issuer Call Rights and Investor Risk Exposure

A key feature is the issuer’s right to call the notes early. Beginning roughly three months after issuance, Citigroup Global Markets Holdings Inc. may call the notes in full on any coupon payment date before maturity. If called, investors receive the principal plus any accrued coupon and no further payments. This call option allows the issuer to manage liability exposure based on market conditions.

If the notes are not called, investors bear full downside exposure to the least performing underlying at maturity. The asymmetric risk means investors only gain from monthly coupons and principal repayment if conditions are met. The call feature benefits only the issuer, enabling early redemption when favorable, potentially disadvantaging investors.

Downside Threshold and Principal Repayment Risk

The notes include a downside threshold set at 70% of each index’s initial level. If, at maturity, the least performing underlying’s final level is at or above this threshold and the notes have not been called, investors receive full principal plus any due coupon. This protection applies solely under this condition.

If the least performing index closes below 70% of its initial level on October 27, 2027, investors receive less than the principal amount, alongside the final coupon. The loss is proportional to the index’s decline from trade date to maturity, with potential for a total 100% loss of the initial investment. This mechanism imparts significant equity-like downside risk despite the notes’ debt classification.

Credit and Total Loss Risks

The preliminary supplement highlights substantial risks, noting these notes are "significantly riskier than conventional debt instruments" and that the issuer is not obligated to repay principal at maturity. Investors face market risk tied to the indices and credit risk from both the issuer and guarantor.

Payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc., with no third-party backing. Defaults by either entity could result in total loss of invested capital, underscoring the structured notes’ complexity and risk.

Asymmetric Payoff Based on Worst Performing Index

Final maturity payments depend solely on the worst performing underlying. Investors receive no benefit from the better performing index. This "worst of" structure exposes investors to losses if either index performs poorly, regardless of the other’s gains.

For example, a rally in the Russell 2000 offers no upside if the S&P 500 falls below its threshold, and vice versa. This design disadvantages noteholders compared to direct index investments or single-index equity-linked notes.

No Dividend or Index Appreciation Participation

Investors do not receive dividends or distributions from the underlying stocks and do not participate in any index appreciation beyond the conditional principal repayment at maturity. While monthly coupons provide income, investors miss out on dividends typically associated with direct index ownership.

Principal repayment applies only if held to maturity or called early by the issuer. The notes are unlisted and may have limited liquidity, potentially locking investors in until maturity or early redemption.

Estimated Valuation Below Issue Price

Citigroup Global Markets Holdings Inc. estimates the notes’ value at trade date to be at least $9.86 per note, below the $10.00 issue price. This $0.14 discount reflects embedded option costs and underwriting fees.

The valuation is based on proprietary pricing models and internal funding rates. The estimated value is not a guaranteed profit or buyback price, indicating investors purchase at a theoretical immediate loss relative to fair value.

Regulatory Filings and Investor Protections

The July 28, 2026 preliminary pricing supplement is subject to completion and not an offer in jurisdictions where prohibited. Registration statements 333-293732 and 333-293732-02 have been filed with the SEC under Rule 424(b)(2).

Neither the SEC nor state securities commissions have approved or disapproved the notes or verified the accuracy of the pricing supplement. The notes are not bank deposits and are not FDIC insured or government guaranteed, emphasizing their elevated risk compared to traditional debt or insured bank products.

Risk Summary and Suitability Warnings

Investors are urged to review the "Summary Risk Factors" starting on page PS-7 and "Risk Factors Relating to the Securities" on page EA-6 of the product supplement. Market events and other uncertainties may adversely impact note value and returns, with the possibility of partial or total loss of principal.

The supplement explicitly warns: "You should not purchase the notes if you do not understand or are not comfortable with the significant risks involved in investing in the notes." These notes are intended for sophisticated investors familiar with structured products, equity indices, and the specific call, coupon, and downside features described.