Citigroup Issues Autocallable Barrier Securities Linked to S&P 500 Equal Weight Index Due 2031

Structure and Automatic Redemption Mechanism

The securities issued by Citigroup Global Markets Holdings Inc. feature a distinctive autocallable structure that provides investors the opportunity for early redemption at a premium under specified conditions. According to the disclosure, if the closing value of the S&P 500 Equal Weight Index reaches or exceeds its initial value on the valuation date of July 30, 2027, the securities will automatically redeem for $1,000 plus a 9.70% premium. This mechanism is designed to appeal to investors seeking limited-duration exposure with defined upside capture. The announcement specifies that automatic redemption would occur on the third business day following the qualifying valuation date, at which point investors cease holding the securities and forfeit any further participation in index appreciation.

This early redemption feature fundamentally changes the risk-return profile compared to traditional debt instruments. The filing states that the premium offered at the first valuation date may be significantly less than the actual appreciation of the underlying index from the pricing date through that valuation date, meaning investors would not capture the full upside of strong market performance. If the securities are not automatically redeemed by July 30, 2027, they remain outstanding through the final maturity date, but the opportunity to participate in any appreciation at the elevated premium rate expires entirely.

Downside Risk and Barrier Protection Terms

The securities contain substantial downside exposure that distinguishes them from conventional debt offerings. The disclosure indicates that investors bear full downside risk to index depreciation, with the final barrier value set at 80% of the initial underlying value. If the index value falls below this barrier level at maturity, investors face losses calculated on a dollar-for-dollar basis: specifically, they lose 1% of stated principal for every 1% by which the final underlying value falls below the initial underlying value. The filing emphasizes that investors "may lose a significant portion, and up to all, of your investment" under adverse market conditions.

Between the initial underlying value and the 80% barrier level, investors receive full principal repayment of $1,000 but forfeit any participation in index appreciation. The disclosure structure makes clear that if the final underlying value sits at or above the initial value, investors receive $1,000 plus a return amount calculated at 150% of the underlying appreciation. This 150% upside participation rate applies only if the securities remain outstanding through maturity and the index appreciates from its initial level. The document provides no dividend participation to investors, meaning they receive no benefit from any distributions made by constituent companies in the index.

Valuation and Estimated Securities Value

The issuer has disclosed its proprietary valuation methodology and corresponding estimated value for the securities. Citigroup Global Markets Holdings Inc. states that the estimated value of the securities on the pricing date of July 23, 2026, is expected to be at least $915.00 per security, which is materially less than the issue price of $1,000. This $85 per security valuation discount reflects the economic cost of the embedded features, including the automatic redemption option and the structural complexity of the instrument. The company's disclosure notes that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate.

The filing contains an important clarification regarding the use of this estimated value figure. Citigroup states explicitly that the valuation "is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance." This language acknowledges that the estimated value may differ from any secondary market pricing that might emerge following issuance. Investors are directed to the "Valuation of the Securities" section in the pricing supplement for additional detail on how this valuation was determined.

Underwriting Fees and Distribution Structure

Citigroup Global Markets Inc., acting as principal underwriter, will receive an underwriting fee of $22.00 per security sold in the offering, with total proceeds to the issuer of $978.00 per security. The disclosure specifies that selected dealers not affiliated with Citigroup Global Markets Inc. will receive a selling concession of $20.00 per security and a structuring fee of up to $2.00 per security for sales they facilitate. The announcement indicates that Citigroup Global Markets Inc. and its affiliates may also earn additional profit from hedging activity related to the offering, even if the value of the securities declines after issuance.

The distribution arrangement includes fees paid to electronic platform providers for each security sold through platforms where selected dealers and custodians implement or utilize those providers. The per-security proceeds to the issuer indicated in the disclosure represent the minimum proceeds assuming the maximum per-security underwriting fee, with the acknowledgment that the actual underwriting fee is variable. This distribution structure reveals the multiple layers of compensation flowing to Citigroup affiliates and third parties, costs ultimately borne by investors through the spread between issue price and estimated value.

Credit Risk and Guarantee Structure

The securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. The disclosure emphasizes that all payments are subject to the credit risk of both entities, meaning investors face counterparty risk tied to Citigroup's financial condition and creditworthiness. The announcement specifically warns that investors must be willing to accept the risk of receiving no amount due under the securities if either Citigroup Global Markets Holdings Inc. or Citigroup Inc. defaults on its obligations.

The filing makes clear that these are not bank deposits and carry no Federal Deposit Insurance Corporation protection or any other government guarantee. Unlike conventional bank instruments or insured products, investors have no regulatory safety net. The guarantee from Citigroup Inc. provides some additional credit strength beyond the issuer, but the guarantee is only as valuable as Citigroup Inc.'s ability and willingness to honor its obligations. The document provides cross-references to additional risk disclosures in the accompanying product supplement, prospectus supplement, and prospectus that address credit risk factors in greater detail.

Liquidity and Secondary Market Characteristics

The securities will not be listed on any securities exchange, a significant limitation on liquidity that distinguishes them from conventional debt or equity instruments. The disclosure indicates that investors must be willing to accept "limited or no liquidity" in order to obtain the modified exposure to the underlying index that the securities provide. This means that following purchase, investors may face difficulty selling the securities before maturity, either because no secondary market will develop or because any secondary market that does emerge may offer prices significantly below the estimated value or original purchase price.

The absence of exchange listing and limited liquidity visibility compound the valuation risk already present in these structured instruments. Investors seeking to exit their positions before maturity would likely need to negotiate directly with Citigroup or other market participants, and no assurance exists that any seller would be willing to purchase the securities at any price. The illiquidity characteristic makes these instruments particularly unsuitable for investors who may require access to their capital on shorter timeframes or who wish to rebalance their portfolios without significant transaction friction.

Key Terms and Index Reference

The securities are linked to the S&P 500 Equal Weight Index, with the initial underlying value defined as the closing value of that index on the pricing date of July 23, 2026. The final underlying value will be the closing value of the index on the final valuation date of July 23, 2031, subject to postponement if that date is not a scheduled trading day or if certain market disruption events occur. The valuation methodology is determined by how the closing values of the index are established and any adjustments made to account for market disruptions or other specified events affecting index calculation. The announcement notes that the accompanying product supplement and underlying supplement contain important disclosures regarding how the closing value is determined and what adjustments may apply.

The underlying return calculation is straightforward in formula but dependent on the precise closing values used at each measurement date: the final underlying value minus the initial underlying value, divided by the initial underlying value. Even minor differences in how closing values are determined or adjustments applied could meaningfully affect the return calculation. The disclosure directs investors to additional product and underlying supplements to understand the precise mechanics of index calculation and any potential adjustments to the terms upon occurrence of specified market disruption events or other market conditions.

Comparison to Conventional Debt and Risk Considerations

The filing emphasizes that these securities differ materially from conventional debt instruments in several critical respects. Unlike traditional bonds, the securities do not pay periodic interest, do not guarantee repayment of principal at maturity, and are subject to automatic early redemption. Investors receive no regular income stream, only the opportunity for appreciation at maturity (if held to maturity and the index appreciates) or automatic redemption with premium (if the index reaches its initial value by July 30, 2027). This structure may appeal to investors seeking capital appreciation and willing to forgo current income, but it creates significant divergence from debt instruments that provide stable, predictable cash flows.

The disclosure explicitly states that "investing in the securities involves risks not associated with an investment in conventional debt securities." These include the contingent principal repayment at maturity only if the index does not depreciate beyond the 80% barrier, the potential for total loss if the index declines sharply, and the absence of any downside protection or income generation. The announcement directs investors to "Summary Risk Factors" sections within the broader prospectus materials for comprehensive discussion of these and other risks. The risk profile resembles that of a leveraged derivative position more closely than traditional debt, despite the securities' debt classification and Citigroup's guarantee.

Pricing Date and Issue Timeline

The pricing date for the securities is July 23, 2026, with an issue date of July 28, 2026, providing a five-day gap between pricing and actual issuance. This gap allows for completion of regulatory requirements and order processing. The securities mature on July 28, 2031, unless earlier redeemed, providing a five-year duration assuming no automatic redemption occurs. The first valuation date of July 30, 2027, occurs approximately one year after issuance, at which point the automatic redemption feature activates if the index reaches its initial value. The final valuation date of July 23, 2031, occurs on the last scheduled trading day before maturity, with any redemption from maturity occurring on July 28, 2031.

Both valuation dates are subject to postponement if the specified date is not a scheduled trading day or if market disruption events occur that affect index determination. The disclosure does not detail what specific events constitute market disruption or how postponement would operate, instead directing investors to the product and underlying supplements for these definitions. The timeline structure means investors must hold the securities for a minimum of five years unless automatic redemption occurs at the one-year valuation date, creating a defined commitment period regardless of market conditions or investor circumstances.

Registration and Regulatory Status

The preliminary pricing supplement indicates that a registration statement relating to the securities has been filed with the Securities and Exchange Commission under file numbers 333-293732 and 333-293732-02. The document itself is filed pursuant to SEC Rule 424(b)(2), which governs pricing supplements for registered offerings. The disclosure contains standard regulatory language noting that the SEC and state securities commissions have not approved or disapproved the securities and have not determined whether the disclosure documents are truthful or complete, with a notation that any contrary representation constitutes a criminal offense.

The preliminary nature of the pricing supplement, dated July 22, 2026, indicates that terms and figures remain subject to completion and change prior to finalization. Investors reviewing this disclosure are cautioned that final terms may differ from those presented in the preliminary form. The document notes that it is not an offer to sell or solicitation to buy in any state where such offer or sale is not permitted, indicating compliance with state securities law requirements. Complete information regarding the securities is contained in the accompanying product supplement, underlying supplement, prospectus supplement, and prospectus, each dated February 25, 2026, which investors are instructed to read in conjunction with this pricing supplement.