Citigroup Global Markets Holdings Launches EURO STOXX 50 Trigger Jump Securities Due February 2028 With 16.85% Fixed Return Floor

Structure and Terms of the Citigroup EURO STOXX 50 Trigger Jump Securities

The securities are issued under Pricing Supplement No. 2026-USNCH33129 as part of Citigroup Global Markets Holdings Inc.'s Medium-Term Senior Notes, Series N program. Each security carries a stated principal amount of $1,000, and the offering is denominated in U.S. dollars. The CUSIP number disclosed in the filing is 17334C2Z6, and the corresponding ISIN is US17334C2Z65. The securities are unsecured obligations of the issuer and are fully and unconditionally guaranteed by Citigroup Inc.

Unlike conventional fixed-income instruments, these securities pay no periodic interest. Instead, the entire return — if any — is delivered as a single payment at maturity, the amount of which depends entirely on the closing level of the EURO STOXX 50® Index on the valuation date relative to its level on the pricing date. The filing makes clear that investors must be prepared to forgo dividend income from the stocks that constitute the index, as well as any index appreciation beyond the fixed return amount.

How the Payment at Maturity Is Calculated for Each Scenario

The disclosure sets out three distinct payment scenarios for holders of the securities at maturity. First, if the final index level is greater than or equal to the initial index level — regardless of how much the index has risen — investors receive $1,000 plus the fixed return amount of at least $168.50, equating to at least $1,168.50 per security. Second, if the final index level is lower than the initial index level but remains at or above 80% of the initial index level (the trigger level), investors receive exactly $1,000, recovering their full stated principal with no additional return.

Third, and most critically for risk assessment, if the final index level falls below the trigger level of 80% of the initial index level, investors receive $1,000 multiplied by one plus the index return, meaning they bear a full one-for-one loss proportional to the total percentage decline in the index from the pricing date. The filing explicitly states that if the final index level is less than the trigger level, the payment at maturity will be less than $800.00 per security, and possibly significantly less. There is no minimum payment at maturity, meaning the entire principal investment is at risk in a severe market downturn scenario.

EURO STOXX 50 Index as the Underlying Benchmark

The performance reference for these securities is the EURO STOXX 50® Index, which carries the ticker symbol SX5E. This index is a widely followed benchmark representing 50 of the largest and most liquid blue-chip companies across Eurozone member states, spanning sectors including financials, industrials, consumer goods, and technology. The initial index level will be the closing level of the index on the pricing date, expected to be July 31, 2026, while the final index level will be the closing level on the valuation date, expected to be January 31, 2028.

The filing notes that the valuation date is subject to postponement if the scheduled date does not fall on a trading day or if certain market disruption events occur. Investors are directed to the accompanying product supplement for a full description of market disruption event consequences and the procedures that govern postponement of the valuation date. These provisions, while standard for structured products of this type, represent an additional layer of complexity that prospective investors should review carefully before making any investment decision.

Estimated Value at Pricing Versus Issue Price

One of the more notable disclosures in the preliminary pricing supplement concerns the estimated fair value of the securities relative to their issue price. 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 $921.50 per security — a figure that is lower than the $1,000 issue price at which the securities will be sold to investors. The issuer attributes this estimated value to CGMI's proprietary pricing models and its internal funding rate.

The filing is explicit that this estimated value is not an indication of actual profit to CGMI or its affiliates, nor is it a representation of the price at which CGMI or any other party would be willing to repurchase the securities after issuance. The gap between the $921.50 estimated value and the $1,000 issue price reflects the costs embedded in the offering, including the underwriting fee, the structuring fee, and other distribution-related expenses. Investors considering the securities should weigh this valuation gap as part of their overall cost-of-investment assessment.

Fee Structure, Underwriting Arrangements, and Distribution Channels

The filing details a layered fee structure for the offering. CGMI, an affiliate of the issuer, is acting as underwriter on a principal basis and will receive an underwriting fee of $25.00 for each $1,000 security sold. Of that amount, certain selected dealers — specifically identified as including Morgan Stanley Wealth Management — and their financial advisors will collectively receive a fixed selling concession of $20.00 per $1,000 security they sell. CGMI will also pay a fee of $0.50 per security sold through electronic platform providers where selected dealers or custodians utilize such platforms.

In addition, the filing discloses that CGMI will pay a structuring fee of $5.00 per security to Morgan Stanley Wealth Management, which is reflected in the proceeds-to-issuer figure. Taking all fees into account, the proceeds to the issuer per security are stated as $975.00 after the $20.00 selling concession and $5.00 structuring fee are deducted from the $1,000 issue price. The filing also notes that CGMI and its affiliates may generate additional profit from hedging activity related to this offering, even if the value of the securities declines after issuance.

Credit Risk and Guarantee Provisions From Citigroup Inc.

The securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc., described in the filing as a wholly owned subsidiary of Citigroup Inc. All payments due on the securities — including any return of principal and the fixed return amount — are fully and unconditionally guaranteed by Citigroup Inc. This means that an investor's ability to receive the payments described in the offering depends on the financial health and creditworthiness of both the issuer and the guarantor.

The filing is direct in stating that investors must be willing to accept the risk of not receiving any amount due if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations. The securities are explicitly not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. They are also not obligations of, or guaranteed by, a bank. These disclosures serve as a reminder that even if the EURO STOXX 50® Index performs favorably, investors would not receive their expected return in a default scenario.

Liquidity Limitations and the Absence of Exchange Listing

The filing states clearly that the securities will not be listed on any securities exchange. This means that investors who wish to sell the securities before maturity will not have access to an organized secondary market in the way that holders of exchange-traded equities or bonds typically do. Any secondary market that does develop for these securities, if one develops at all, would be through CGMI or other dealers at their discretion, and at prices that may be substantially below the issue price.

The disclosure specifically flags that investors must be willing to accept an investment that may have limited or no liquidity as a condition of obtaining the modified index exposure the securities are designed to provide. This liquidity risk is particularly relevant given the approximately eighteen-month tenor of the securities, running from the expected issue date of August 5, 2026 through the expected maturity date of February 3, 2028. Investors who may need access to their capital before maturity should consider this constraint carefully.

Key Risks Highlighted for Prospective Investors in the Preliminary Supplement

The filing directs prospective investors to a "Summary Risk Factors" section beginning on page PS-6 of the pricing supplement for a comprehensive account of the risks associated with the securities. Among the risks indicated in the overview section of the document, the most prominent is the principal-at-risk nature of the offering. The filing warns in unambiguous terms that investors should not purchase the securities unless they are willing and able to bear the risk of losing a significant portion, and potentially all, of their investment.

Additional risks noted include the forfeiture of any index appreciation beyond the fixed return amount, the loss of dividend income that would otherwise be generated by holding the constituent stocks of the EURO STOXX 50® Index directly, and the full one-for-one downside exposure that applies once the index falls more than 20% below its initial level. The filing also cautions that certain extraordinary events — including index discontinuance or material modification of the underlying index — could affect the payment at maturity, and that the terms governing such events are described in the accompanying product supplement rather than in the preliminary pricing supplement itself.

Timeline of Key Dates From Pricing Through Maturity

The preliminary pricing supplement sets out a clear sequence of expected dates for the lifecycle of these securities, though all dates remain subject to change as the offering is finalized. The pricing date is expected to be July 31, 2026, at which point the initial index level will be set as the closing level of the EURO STOXX 50® Index on that day, and the fixed return amount will be confirmed as at least $168.50 per security. The issue date is expected to follow on August 5, 2026.

The valuation date, which determines the final index level and therefore the payment at maturity, is expected to be January 31, 2028, though the filing notes it is subject to postponement in the event of a non-trading day or a market disruption event. The maturity date, on which payment is expected to be delivered to investors, is scheduled for February 3, 2028. The total investment horizon from issue to expected maturity is approximately eighteen months, offering investors a relatively short-dated structured exposure to European equity market performance.

Regulatory Status and Offering Documentation Requirements

The preliminary pricing supplement was filed pursuant to Rule 424(b)(2) under Registration Statement Nos. 333-293732 and 333-293732-02. As is standard for preliminary pricing supplements, the document notes that the information contained within it is not complete and may be changed before the final terms are confirmed on the pricing date. The filing states that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities, and that any representation to the contrary would constitute a criminal offense.

The filing instructs prospective investors to read the pricing supplement in conjunction with four accompanying documents: Product Supplement No. EA-02-12 dated February 25, 2026; Underlying Supplement No. 13 dated February 25, 2026; a Prospectus Supplement dated February 25, 2026; and a Prospectus dated February 25, 2026. The filing emphasizes that these accompanying documents contain important disclosures that are not repeated in the pricing supplement itself, and that a complete investment decision requires review of the full documentation suite.