Citigroup Launches Callable Contingent Coupon Equity Linked Securities Tied to Nasdaq-100, Russell 2000, and S&P 500

Security Structure and Index Performance Mechanics

The three-year structured notes feature contingent coupon payments dependent on the performance of the worst-performing index among Nasdaq-100, Russell 2000, and S&P 500. Initial index values are set on the pricing date, July 31, 2026. Payments hinge solely on the single worst-performing index, not on averages or individual outcomes.

Two key performance barriers govern returns: a 70% coupon barrier and a 60% final barrier relative to initial index values. Over 38 valuation dates from August 31, 2026, through July 31, 2029, the worst-performing index’s closing value is compared to the coupon barrier to determine coupon eligibility. Valuation dates may be postponed due to non-trading days or market disruptions. This monthly assessment schedule means performance is regularly monitored, with any coupon barrier breach eliminating coupon payments for that period.

Contingent Coupon Payment Details and Yield Potential

The contingent coupon offers an annualized rate of approximately at least 13.75%, equating to roughly 1.1458% per contingent coupon period. Coupon payments occur three business days after each valuation date, with the final payment coinciding with maturity on August 3, 2029. Coupons are paid only if the worst-performing index closes at or above 70% of its initial value on valuation dates.

If the worst-performing index closes below the coupon barrier on any valuation date, no coupon is paid for that period, and missed coupons are not recoverable. The coupon rate may exceed the stated minimum but was not finalized in the filing. The structure creates asymmetric risk, as any single weak index can eliminate coupon income regardless of the other indexes’ performance.

Principal Repayment Risks and Maturity Terms

At maturity, investors receive either the full $1,000 principal or an adjusted amount reflecting the worst-performing index’s decline. If the final worst-performing index value on July 31, 2029, is at least 60% of its initial value, full principal is returned. If below 60%, repayment equals $1,000 plus the index’s return, potentially resulting in significant principal loss.

The filing warns that if the worst-performing index falls more than 40% by maturity, investors could receive substantially less than principal or possibly nothing. No final coupon payment is made if the final barrier is breached. Losses are uncapped, exposing investors to near-total principal loss in extreme index declines.

Callable Feature and Redemption Rights

Citigroup Global Markets Holdings Inc. may call and redeem the securities in full on any redemption date with at least three business days’ notice. Redemption dates align with coupon payment dates through July 31, 2029. Upon call, investors receive $1,000 plus any accrued contingent coupon.

This callable structure benefits the issuer by allowing early redemption to avoid continued coupon payments, introducing reinvestment risk for investors. Early call may occur if indexes perform well, while poor performance may reduce call likelihood. Investors should not expect the full three-year coupon stream at the stated annualized rate.

Liquidity and Exchange Listing Limitations

The securities will not be listed on any exchange, significantly limiting liquidity. The filing cautions investors must accept potential limited or no liquidity. While the underwriter may facilitate secondary market transactions and hedging, no guarantee of a secondary market exists.

Without exchange listing, exiting positions before maturity may require negotiation with the underwriter or other parties, with pricing influenced by issuer credit risk and index performance. The estimated pricing date value of $944.50 per security already reflects a discount to the $1,000 issue price, indicating potential secondary market discounts.

Credit Risk and Guarantee Structure

Payments are fully guaranteed by Citigroup Inc., parent of the issuer. However, all payments remain subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. In case of default by both entities, investors become unsecured creditors without special protections.

The securities are not bank deposits and lack FDIC or government insurance. This distinction is crucial as investors familiar with Citigroup’s banking operations might mistakenly assume deposit insurance applies. As unsecured debt, these securities rank below secured creditors and depositors in insolvency scenarios. The filing provides no financial metrics for Citigroup, requiring investors to perform independent credit assessments.

Pricing, Valuation, and Underwriting Details

Each security is issued at $1,000, with Citigroup Global Markets Inc. receiving up to $2.50 per security in underwriting fees, yielding net proceeds of $997.50 per security. The estimated value on pricing date is at least $944.50, about 5.55% below issue price. The filing clarifies this estimate does not indicate issuer profit or secondary market prices.

Underwriting profits may also arise from hedging activities regardless of securities’ value changes. Additionally, up to $1.50 per security may be paid to electronic platform providers. The valuation spread reflects the contingent coupon structure, index linkage, and credit risk assumed by investors.

Valuation Methodology and Risk Disclosures

The $944.50 estimated value is based on proprietary pricing models and internal funding rates, with no detailed assumptions disclosed. Investors are advised to consult the pricing supplement’s "Valuation of the Securities" section for further details, not included in this filing excerpt. Lack of transparent valuation data necessitates independent analysis.

The filing highlights extensive risk factors, including downside exposure to the worst-performing index without dividend participation or appreciation benefits. Risks include market, credit, liquidity, contingent coupon payment, early redemption, and valuation risks. The complexity and multiple risk dimensions underscore the potential for reduced or eliminated investor returns.

Regulatory Filing and Registration Status

Filed as a preliminary pricing supplement under SEC Rule 424(b)(2) with registration numbers 333-293732 and 333-293732-02, dated July 23, 2026, the document is "subject to completion" pending final terms such as the exact coupon rate, estimated value, and offering size. It includes standard disclaimers about incomplete information and lack of SEC approval.

Supporting documents include Product Supplement No. EA-04-12, Underlying Supplement No. 13, and Prospectus Supplements dated February 25, 2026, providing additional product and index details. Investors are urged to review all materials thoroughly due to the offering’s complexity.

Investor Suitability and Important Warnings

The filing cautions that actual yields may be significantly lower than conventional debt securities due to potential missed coupon payments. The 13.75% annualized rate is contingent on no breaches of the 70% coupon barrier across 38 monthly valuations, a challenging scenario especially amid market volatility.

Investors must accept limited liquidity, credit risk, and the possibility of principal loss. These securities suit investors with high risk tolerance and sophisticated understanding of structured products. The comprehensive risk disclosures emphasize the potential for substantial principal loss and extended periods without coupon income, advising caution for less experienced investors.