Citigroup prices structured notes linked to 500%-leveraged, volatility-targeted futures index with 6% annual drag

Filed July 7, 2026 · ~2 min read

Key Changes

• high

  Notes linked to an index that applies up to 500% leverage to Nasdaq-100 futures when volatility is low; a 5% futures decline translates to a 25% index decline at maximum leverage, plus a 6% annual decrement drag that compounds losses.

  Risk Factors verify on EDGAR →
• high

  The underlying index launched April 28, 2025, providing less than 15 months of actual performance; all prior data is hypothetical back-testing developed by Citigroup with hindsight.

  Risk Factors verify on EDGAR →
• high

  No principal protection: if the underlying closes below the final barrier at maturity, investors lose 1% of principal for every 1% the underlying has declined from its initial value, with potential for total loss.

  risk factors verify on EDGAR →