Citigroup Global Markets Holdings Launches Autocallable NVIDIA-Linked Securities Offering Contingent Coupons of at Least 10.60% Per Annum

Structure and Purpose of the NVIDIA-Linked Securities Offering

The securities described in the preliminary pricing supplement are classified as Medium-Term Senior Notes, Series N, issued under Pricing Supplement No. 2026-USNCH33102. They are unsecured debt obligations of Citigroup Global Markets Holdings Inc. and are fully and unconditionally guaranteed by Citigroup Inc. The offering is filed pursuant to Rule 424(b)(2) under Registration Statement Nos. 333-293732 and 333-293732-02. The underwriter is Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acting as principal.

The product is designed to offer investors a higher potential yield than conventional Citigroup debt securities of comparable maturity, in exchange for accepting meaningful downside exposure to NVIDIA Corporation's stock performance. The filing is explicit that investors will not participate in any appreciation of NVIDIA's share price, nor will they receive dividends on the underlying stock. The trade-off between the elevated contingent coupon and exposure to equity-linked risk is central to understanding the product's risk-return profile.

Contingent Coupon Mechanics and the 60% Coupon Barrier

On each of the twelve scheduled quarterly valuation dates between November 2, 2026, and July 31, 2029, investors will be entitled to receive a contingent coupon payment only if NVIDIA Corporation's closing value on that date is greater than or equal to the coupon barrier value. The coupon barrier value is set at 60.00% of the initial underlying value, which will be determined as NVIDIA's closing price on the pricing date of July 29, 2026. The quarterly coupon is disclosed as at least 2.65% of the $1,000 stated principal amount, equating to an annualized rate of at least 10.60%.

If NVIDIA's closing value on any given valuation date falls below the coupon barrier, no contingent coupon payment will be made for that period. The filing makes clear that investors may receive fewer than all twelve coupon payments, or potentially none at all, depending on NVIDIA's performance across the full observation schedule. Each contingent coupon payment date falls on the fifth business day following the relevant valuation date, with the exception that the payment date following the final valuation date will coincide with the maturity date of August 3, 2029.

Autocall Feature and Potential Early Redemption Beginning February 2027

The securities include an automatic early redemption feature that may be triggered on any of ten specified potential autocall dates, beginning February 1, 2027, and running through April 30, 2029. If NVIDIA's closing value on any of these dates is greater than or equal to the initial underlying value established on the pricing date, each security will be automatically called for redemption on the immediately following contingent coupon payment date. Upon an autocall, investors would receive $1,000 plus the related contingent coupon payment for that period.

The filing cautions investors that the autocall feature may significantly limit the total return on the securities. If NVIDIA's performance is favorable and the autocall is triggered early, investors will no longer have the opportunity to receive future contingent coupon payments. In a scenario where the autocall is triggered at the earliest possible opportunity, February 1, 2027, investors would have held the securities for approximately six months from the issue date. The November 2, 2026 valuation date is the first observation date but is not listed as a potential autocall date; the autocall feature becomes operative only from the February 2027 valuation date onward.

Principal Risk at Maturity and the Final Barrier Value

If the securities are not called prior to maturity, the payment at maturity depends entirely on NVIDIA's final underlying value on July 31, 2029, relative to the final barrier value. The final barrier value, like the coupon barrier, is set at 60.00% of the initial underlying value. If NVIDIA's closing price on the final valuation date is at or above this level, investors will receive the full $1,000 stated principal amount per security, plus the final contingent coupon if applicable. This represents the best-case outcome at maturity for investors who hold through to the end.

However, if the final underlying value falls below the final barrier value, investors will receive $1,000 plus $1,000 multiplied by the underlying return, where the underlying return is calculated as the final underlying value minus the initial underlying value, divided by the initial underlying value. Because the underlying return will be a negative number in this scenario, the maturity payment will be less than $1,000 — and, according to the filing, could be significantly less or even zero. The filing is explicit that no final contingent coupon payment will be made at maturity in this loss scenario, compounding the impact of a sustained NVIDIA share price decline.

Estimated Value Versus Issue Price: A Key Disclosure for Investors

One of the more notable disclosures in the preliminary pricing supplement concerns the relationship between the securities' issue price and their estimated fair value. The filing states that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date to be at least $900.50 per security. This estimated value is materially lower than the $1,000 issue price at which the securities will be sold to investors.

The filing attributes this gap to several factors, including the underwriting fee of $40.00 per security paid to CGMI, as well as the difference between the issuer's internal funding rate and the rates used to value the embedded derivative components of the product. The disclosure notes that the estimated value is based on CGMI's proprietary pricing models and internal funding rate, and is not an indication of actual profit to CGMI or its affiliates, nor is it indicative of any secondary market price. Investors should therefore understand that from the moment of purchase, the market value of these securities is likely to be below the $1,000 purchase price.

Underwriting Economics and Platform Fee Arrangement

The filing discloses a clear breakdown of the economics associated with each security sold. The issue price is $1,000 per security, of which $40.00 represents the underwriting fee paid to CGMI, leaving proceeds to the issuer of $960.00 per security. The total dollar amounts for the underwriting fee and proceeds to the issuer are not disclosed in the preliminary pricing supplement, as the aggregate offering size had not been finalized as of the filing date.

In addition to the stated underwriting fee, the filing discloses that CGMI will pay a fee of $1.50 per security to one or more electronic platform providers for each security sold through selected dealers or custodians utilizing those platforms. The filing also notes that CGMI and its affiliates may generate additional profit from expected hedging activity related to this offering, even in scenarios where the value of the securities declines for investors. This hedging-related profit is separate from and incremental to the underwriting fee.

Credit Risk Exposure to Citigroup Global Markets Holdings and Citigroup Inc.

All payments under these securities — including contingent coupon payments, autocall redemption proceeds, and any amount due at maturity — are subject to the credit risk of both Citigroup Global Markets Holdings Inc. as issuer and Citigroup Inc. as guarantor. The filing is unambiguous on this point: if either entity defaults on its obligations, investors may not receive any payments due under the securities, regardless of NVIDIA's performance. The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency.

The filing further specifies that the securities are not obligations of, or guaranteed by, any bank. This distinction is important for investors who might otherwise conflate the Citigroup brand with deposit-insured banking products. The unsecured nature of the notes means that, in a default scenario, holders would be general creditors of the issuer without any preferential claim on specific assets. The guarantee from Citigroup Inc. provides an additional layer of credit support, but investors remain exposed to the consolidated credit profile of the broader Citigroup group.

Liquidity Limitations and Secondary Market Considerations

The filing discloses that the securities will not be listed on any securities exchange. This means that after the issue date of July 31, 2026, there will be no organized marketplace where investors can readily buy or sell the notes. Any secondary market transactions would depend entirely on CGMI's willingness to make a market in the securities, which the filing does not guarantee. The disclosure cautions that investors must be willing to accept an investment that may have limited or no liquidity.

The practical implication of this limitation is that investors who need to sell their securities before the maturity date of August 3, 2029, or before an autocall event, may be unable to do so, or may only be able to sell at a price that is significantly below the $1,000 issue price. The combination of a below-issue estimated value at inception, a lack of exchange listing, and the reliance on a single affiliated market-maker creates a materially different liquidity profile compared with publicly traded fixed-income securities or exchange-listed structured products.

Key Dates and Valuation Schedule Governing the Securities' Lifecycle

The securities operate on a detailed calendar of valuation dates and payment dates that governs the entire lifecycle of the product. The pricing date is July 29, 2026, on which the initial underlying value, coupon barrier value, and final barrier value will all be set. The issue date follows on July 31, 2026. The first valuation date is November 2, 2026, which determines whether the first contingent coupon is payable but does not carry autocall eligibility. Subsequent valuation dates occur approximately quarterly through the final valuation date of July 31, 2029.

The filing notes that each valuation date is subject to postponement if it does not fall on a scheduled trading day or if certain market disruption events occur with respect to NVIDIA Corporation. This built-in flexibility reflects standard market practice for equity-linked structured products, where disruptions to the underlying market can affect the mechanics of observation and valuation. Investors should be aware that actual payment dates may shift from the scheduled calendar in the event of such disruptions, as specified in the accompanying product supplement referenced in the filing.

CUSIP, ISIN Identifiers and Offering Documentation References

The securities have been assigned CUSIP number 17334BDN3 and ISIN US17334BDN38, allowing them to be tracked within standard financial data systems once issued. The filing identifies the full documentation suite that governs the terms of the securities, including Product Supplement No. EA-04-12 dated February 25, 2026, as well as a Prospectus Supplement and Prospectus each dated February 25, 2026. The preliminary pricing supplement is intended to be read in conjunction with these documents, which contain additional material disclosures not repeated in the pricing supplement itself.

The filing emphasizes that the accompanying product supplement contains important information about how NVIDIA's closing value will be determined on each valuation date, as well as the adjustments that may be made to the terms of the securities in the event of market disruption events or other specified events affecting the underlying. Prospective investors are advised in the filing to read all components of the documentation together before making an investment decision. Because this is a preliminary pricing supplement, certain key terms — including the initial underlying value and the precise dollar amounts for the coupon barrier and final barrier — remain subject to completion on the pricing date.