Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement on August 4, 2026, for Autocallable Barrier Securities linked to the worst performing of the Nasdaq-100 Index and the State Street SPDR S&P 500 ETF Trust, with a stated maturity of August 12, 2031.

Key Highlights

  • Issuer and guarantee: Securities are issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., and are fully and unconditionally guaranteed by Citigroup Inc.
  • Stated principal amount: $1,000 per security, with an issue price of $1,000.00 and an underwriting fee of up to $41.25 per security, leaving proceeds to issuer of at least $958.75 per security.
  • Estimated value below issue price: The estimated value of the securities on the pricing date is expected to be at least $900.00 per security, less than the $1,000.00 issue price.
  • Automatic early redemption premiums: If redeemed on August 10, 2027, investors receive at least 13.05% of stated principal; if redeemed on August 7, 2028, at least 26.10% of stated principal.
  • Final barrier value: 80.00% of each underlying's initial underlying value; if the worst performing underlying falls below this on the final valuation date, investors lose 1% of principal for every 1% decline from the initial underlying value.
  • Upside participation rate: 100.00% of the appreciation of the worst performing underlying, if not automatically redeemed and the underlying finishes above its initial value.
  • No exchange listing: The securities will not be listed on any securities exchange, and investors must accept potentially limited or no liquidity.

Structure and Risk Profile of the Citigroup Autocallable Barrier Securities

According to the filing, the securities are Medium-Term Senior Notes, Series N, designated Pricing Supplement No. 2026-USNCH33496, filed pursuant to Rule 424(b)(2) under Registration Statement Nos. 333-293732 and 333-293732-02. The pricing date is August 7, 2026, and the issue date is August 12, 2026. Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acts as underwriter on a principal basis. CGMI may also pay up to $1.50 per security to electronic platform providers where selected dealers or custodians use such providers.

The filing discloses that the securities do not pay interest and do not guarantee repayment of principal at maturity. Returns depend solely on the performance of the worst performing underlying among the Nasdaq-100 Index and the State Street SPDR S&P 500 ETF Trust. Valuation dates are August 10, 2027, August 7, 2028, and August 7, 2031. If the worst performing underlying is at or above its premium threshold value on either of the first two valuation dates, the securities are automatically redeemed at $1,000 plus the applicable premium. The filing notes that "the premium may be significantly less than the appreciation of any underlying from the pricing date to the applicable valuation date."

If the securities reach the final valuation date without early redemption, the filing specifies three payment scenarios: full principal plus a return amount if the worst performing underlying finishes above its initial value; return of $1,000 if it finishes at or below its initial value but at or above the 80.00% barrier; or a loss of 1% of principal for every 1% by which the final underlying value is below the initial underlying value, if the barrier is breached. The filing also states that investors "will not receive dividends with respect to any underlying" and that all payments are subject to the credit risk of both the issuer and Citigroup Inc.

What Was Disclosed

The filing is a preliminary pricing supplement for unsecured autocallable barrier notes due August 12, 2031, linked to the worst performing of two underlyings, with an estimated value below the issue price and full principal at risk if the barrier is breached at maturity.