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Citigroup Global Markets Holdings Inc. has submitted a preliminary pricing supplement for a new medium-term senior notes series featuring contingent coupon payments tied to the performance of three major U.S. stock indices. These notes, maturing on August 3, 2029, offer investors the opportunity for elevated yields in exchange for assuming significant downside risk related to the worst-performing index. This complex structured product exposes investors to credit risk from both Citigroup Global Markets Holdings Inc. and its parent company, Citigroup Inc.
Key Points
- NYSE: C-PR
- Citigroup is issuing callable contingent coupon equity-linked securities with a principal amount of $1,000 each, maturing August 3, 2029
- The notes are linked to the worst-performing of the Nasdaq-100, Russell 2000, and S&P 500 indices; contingent coupons approximate 10.60% per annum if conditions are met; pricing date July 31, 2026; issue date August 5, 2026
- Investors risk missing contingent coupon payments and could receive a final redemption amount significantly below principal or zero
Contingent Coupon Notes Structure and Payment Terms
Issued by Citigroup Global Markets Holdings Inc. and fully guaranteed by Citigroup Inc., these securities provide contingent coupon payments instead of fixed interest. On each contingent coupon payment date, investors may receive a coupon equal to at least 0.8833% of principal, equating to an annualized rate near 10.60%, if the worst-performing underlying index’s closing value on the prior valuation date is at or above 70% of its initial value.
If the worst-performing index falls below this 70% coupon barrier on any valuation date, no coupon is paid on the next coupon payment date. This creates periods where investors receive no income despite the higher yield potential. There are 38 valuation dates from August 31, 2026, through July 31, 2029, allowing multiple opportunities for coupon payment eligibility assessment.
Downside Exposure and Worst-Performing Index Mechanism
Investor returns depend solely on the worst-performing index among the Nasdaq-100, Russell 2000, and S&P 500. Even if two indices perform well, a significant decline in one results in no coupon payments. At maturity, if the worst-performing index’s final value is below 60% of its initial value, redemption is calculated as $1,000 plus the underlying return multiplied by $1,000, potentially yielding substantially less than principal or zero.
Investors bear downside risk from any of the three indices without participating in any appreciation or dividends, which accrue entirely to Citigroup. This asymmetric payoff exposes investors to losses while limiting upside potential.
Pricing, Valuation, and Embedded Fees
The securities are priced at $1,000 each with a $7.50 underwriting fee, resulting in net proceeds of $992.50 per note. Citigroup estimates the notes’ value on the pricing date at approximately $928.00, representing a roughly 7.2% discount to the issue price. This valuation gap reflects embedded costs and risks.
The estimated value is derived from Citigroup’s proprietary pricing models and internal funding rates and does not indicate actual profit or secondary market pricing. Additional fees include $1.50 per note paid to electronic platform providers when applicable. Citigroup and affiliates may profit from hedging activities regardless of the notes’ value fluctuations.
Redemption and Call Provisions
Citigroup holds the right to call the notes for mandatory redemption on any of 10 potential redemption dates tied to coupon payment dates between February 1, 2027, and April 30, 2029, with at least three business days’ notice. Investors do not have a corresponding call right.
If called, investors receive $1,000 plus any applicable contingent coupon. This call feature allows Citigroup to terminate the notes at favorable times, especially if market conditions adversely affect the embedded equity option value. No automatic or mandatory redemption triggers are disclosed.
Credit Risk and Guarantee Structure
Payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and are unconditionally guaranteed by Citigroup Inc., exposing investors to the consolidated entity’s credit risk. The notes are unsecured debt, ranking equally with other unsecured creditors and lacking collateral backing.
The filing warns these are not bank deposits, are uninsured by the FDIC or other agencies, and are not bank obligations despite Citigroup affiliation. Investors must accept potential illiquidity and the risk of no payments if Citigroup defaults.
Liquidity and Market Listing
The notes will not be listed on any exchange, limiting liquidity and transparent pricing. While Citigroup may act as principal underwriter in a secondary market, no guarantee of ongoing market-making or pricing is provided. The estimated issuance value does not reflect secondary market bid-ask spreads.
Investors seeking early exit may face difficulty finding buyers at reasonable prices. The notes are designed for holders prepared to maintain positions until maturity or call.
Valuation Dates and Payment Schedule
There are 38 valuation dates from August 31, 2026, to July 31, 2029, with contingent coupon payments occurring the third business day after each valuation date. The final coupon payment coincides with maturity on August 3, 2029. Valuation dates may be postponed due to non-trading days or market disruptions, adding timing uncertainty.
Investors must monitor three indices on each valuation date to determine coupon eligibility.
Initial Underlying Values and Barrier Levels
Initial underlying values are set as the closing levels on the pricing date, July 31, 2026, though specific index levels are not disclosed. The coupon barrier is fixed at 70% of initial value; the final barrier is 60%. If the worst-performing index falls between 60% and 70%, coupons are lost but principal is protected; below 60%, principal loss occurs proportional to the decline.
Underlying return is calculated as the difference between closing and initial values divided by the initial value, with initial levels serving as the reference throughout the notes’ term.
Risk Factors Compared to Traditional Debt
These securities carry risks far exceeding those of conventional debt with the same maturity. Despite a 10.60% annualized coupon rate, investors may receive no coupons during one or more periods or none at all. The final redemption amount may be significantly less than principal or zero.
Risks concentrate on the worst-performing index, creating a single point of failure regardless of other indices’ performance. Investors are exposed to adverse movements in any underlying without upside participation. Additional detailed risks are outlined in the pricing supplement starting on page PS-6.
Registration and Regulatory Information
The filing, pursuant to Rule 424(b)(2) under the Securities Act, references Registration Statement Nos. 333-293732 and 333-293732-02 filed with the SEC. The preliminary pricing supplement is accompanied by product, underlying, prospectus supplements, and prospectus documents for comprehensive investor review.
The SEC and state securities commissions have neither approved nor disapproved the securities or confirmed the accuracy of the documents. The filing is dated July 28, 2026, "subject to completion," with final pricing set on or after July 31, 2026. The issue date is August 5, 2026, allowing for final term adjustments.
