Citigroup Issues Autocallable Buffer Securities Linked to Nasdaq-100 Index Due 2028

Structural Overview of the Autocallable Securities

The securities issued by Citigroup Global Markets Holdings Inc. represent a complex structured debt instrument designed to provide investors with conditional returns based on Nasdaq-100 Index performance. Unlike conventional debt securities, the notes do not pay periodic interest and do not guarantee repayment of principal at maturity. Instead, the investment's outcome depends entirely on whether specific performance thresholds are met on designated valuation dates. The filing states that the securities are unsecured debt obligations fully guaranteed by Citigroup Inc., meaning all payments depend on the creditworthiness of both the issuer and its parent company.

The stated principal amount for each security is $1,000, with the pricing date set for July 30, 2026, and the issue date of August 4, 2026. The disclosure reveals two key valuation dates: August 6, 2027, and July 31, 2028 (the final valuation date), with maturity occurring on August 3, 2028 unless the securities are redeemed earlier. The filing notes that valuation dates are subject to postponement if they do not fall on a scheduled trading day or if certain market disruption events occur, providing flexibility in the mechanics of the offering.

Automatic Early Redemption Feature and Premium Opportunity

A central feature of these securities is the automatic early redemption mechanism, which becomes operative if the Nasdaq-100 Index closes at or above its initial value on the first valuation date of August 6, 2027. Should this condition be met, the securities will automatically redeem on the third business day following that valuation date, providing investors with $1,000 in principal plus a 14.00% premium. The filing emphasizes that this premium may be significantly less than the actual appreciation of the underlying index from the pricing date to the valuation date, meaning investors would forgo potential gains beyond the fixed 14% return.

If automatic redemption occurs, investors cease to hold the securities and lose any opportunity to participate in further appreciation of the Nasdaq-100 Index beyond the redemption date. This design reflects the trade-off inherent in autocallable structures: the certainty of a 14% return at the first valuation date versus the possibility of unlimited upside if the index continues to rise and the securities remain outstanding. The filing makes clear that investors cannot retain the securities if the early redemption condition is satisfied, removing discretion from individual investment decisions once the automatic trigger is activated.

Upside Participation and Final Maturity Mechanics

If the securities are not automatically redeemed prior to maturity, investors gain exposure to the underlying index's appreciation through a 125% upside participation rate. The disclosure defines the return amount as $1,000 multiplied by the underlying return (measured as the change from initial to final index value divided by the initial value) multiplied by the 125% participation rate. This structure allows investors to capture more than dollar-for-dollar gains in the index: a 10% index appreciation would yield a 12.5% return on the stated principal amount, translating to $125 in additional proceeds per $1,000 principal.

However, this upside participation applies only if the final underlying value exceeds the initial underlying value on the final valuation date. If the index closes at or below its initial value but remains above 90% of that value (the final buffer value), investors receive the full $1,000 principal with no additional return or premium. The filing indicates that the buffer percentage is 10%, meaning the index must decline more than 10% from its initial value before investors begin to experience losses. This structure provides partial downside protection while capping upside opportunity and eliminating interim interest payments.

Downside Loss Mechanism and Buffer Percentage

The filing describes a loss scenario that occurs if the Nasdaq-100 Index depreciates such that its final value falls below the final buffer value of 90% of the initial value. In this situation, investors will lose 1% of the stated principal amount for every 1% by which the depreciation exceeds the 10% buffer threshold. For example, if the index declines 15% from its initial value, exceeding the 10% buffer by 5 percentage points, investors would lose $50 per $1,000 principal, receiving $950 at maturity instead of the full stated amount.

The disclosure notes that although investors bear downside exposure to the underlying index, they will not receive any dividends paid by companies in the Nasdaq-100 Index. This asymmetry means that investors absorb price declines but forfeit dividend income, a significant consideration for index-linked securities. The filing emphasizes that investors must be willing to accept the risk of losing principal if the index declines more than 10% by maturity, distinguishing these instruments from conventional debt securities where principal repayment is typically assured absent issuer default.

Valuation Concerns and Estimated Security Value

The disclosure includes an important notation regarding the estimated value of the securities on the pricing date. Citigroup Global Markets Holdings Inc. states that it currently expects the estimated value of the securities to be at least $929.00 per security, which is substantially less than the $1,000 issue price. This $71 per-security discount—approximately 7.1% of the face value—reflects the issuer's view of the intrinsic value using its proprietary pricing models and internal funding rate. The filing explicitly cautions that this estimated value is not an indication of actual profit to Citigroup Global Markets Inc. or its affiliates, nor does it represent a price at which the securities could be resold to investors in the secondary market.

This valuation gap is material for prospective investors, as it suggests that the economics embedded in the security structure favor the issuer and underwriter over purchasers. The filing notes that Citigroup Global Markets Inc., an affiliate of the issuer, is acting as principal underwriter and will collect an underwriting fee of $17.50 per security, with proceeds to the issuer of $982.50 per security. Beyond the underwriting fee, the disclosure indicates that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to the offering, even if the value of the securities declines after issuance.

Underwriting Terms and Distribution Details

The filing specifies that the total issue price, total underwriting fee, and total proceeds to the issuer remain incomplete in this preliminary pricing supplement, with specific dollar amounts to be filled in upon final pricing. The issue price is set at $1,000 per security, with the underwriting fee of $17.50 representing 1.75% of the face value. This fee structure means that the issuer receives only $982.50 in net proceeds for each $1,000 security sold, an immediate 1.75% reduction in capital raised compared to the stated principal amount offered to investors.

Citigroup Global Markets Inc. acts as the sole underwriter and principal distributor of the securities. The filing references supplemental plan of distribution details contained elsewhere in the prospectus materials, indicating that additional information regarding how the securities will be offered and distributed to the public is available in accompanying documentation. The securities will not be listed on any securities exchange, meaning there is no official secondary market venue where investors can readily trade the instruments, a significant liquidity consideration.

Credit Risk and Guarantor Obligations

All payments due under the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of Citigroup Global Markets Holdings Inc. This guarantee extends to the stated principal amount, any premium upon automatic early redemption, any return amount at maturity, and full repayment of the stated principal in scenarios where the buffer is intact. The disclosure emphasizes that investors must accept the credit risk of both the issuer and Citigroup Inc., noting that the securities are not bank deposits, are not insured or guaranteed by the Federal Deposit Insurance Corporation, and are not obligations of any bank.

The filing explicitly states that if Citigroup Global Markets Holdings Inc. or Citigroup Inc. defaults on their obligations, investors face the risk of not receiving any payments due under the securities. This credit risk is fundamental and cannot be mitigated by the index performance or other structural features. Investors are cautioned that these are unsecured debt securities, meaning they rank junior to senior secured debt in the issuer's and guarantor's capital structure, and investors have no collateral securing their claims.

Liquidity Constraints and Investment Risks

The disclosure emphasizes that investors must be willing to accept an investment with limited or potentially no liquidity. Since the securities are not listed on any securities exchange, there is no official trading market where investors can readily sell their holdings before maturity. Any secondary market sales would depend on finding a willing buyer, potentially at unfavorable prices, and would likely involve transaction costs and bid-ask spreads that could significantly reduce proceeds. The filing notes this liquidity constraint as a key risk factor, acknowledging that investors in these securities should not expect to be able to exit their positions readily.

Beyond liquidity and credit risk, the filing identifies several other structural risks inherent in these securities. Investors will not receive dividends paid by companies in the Nasdaq-100 Index, despite bearing downside equity exposure. The automatic redemption feature, while providing a guaranteed premium opportunity, removes investors' ability to capture additional gains if the index appreciates significantly beyond the initial value. Additionally, the estimated intrinsic value of approximately $929 per security suggests the securities are priced with a substantial embedded margin favoring the issuer and underwriter, implying investors purchase the securities at a premium to their estimated fair value.

Comparative Return Analysis and Index Performance Dependency

The securities' return profile is entirely dependent on Nasdaq-100 Index performance relative to its value on the pricing date of July 30, 2026. The filing illustrates three primary outcomes at maturity: if the index appreciates, investors receive participation in that gain at 125% of the underlying return; if the index declines by no more than 10%, investors receive full principal repayment; and if the index declines more than 10%, investors suffer losses exceeding the principal amount by the degree that depreciation exceeds the buffer threshold. This structure provides no return if the index remains flat or declines modestly, and caps upside through the participation rate while providing only partial downside protection.

The disclosure notes that the premium of 14% offered at the first valuation date on August 6, 2027, may be significantly less than the appreciation of the underlying index from the pricing date to that valuation date. For example, if the Nasdaq-100 Index appreciates 25% during the first year, investors who hold through automatic redemption would receive only 14% return, forgoing 11 percentage points of gains. Conversely, if the index declines during the one-year holding period before automatic redemption, investors receive no premium at all, and the securities continue to maturity where downside protection mechanisms apply.

Final Valuation and Maturity Adjustment Procedures

The filing specifies that the final underlying value will be determined by the closing value of the Nasdaq-100 Index on the final valuation date of July 31, 2028, subject to postponement if that date does not fall on a scheduled trading day or certain market disruption events occur. The accompanying product supplement, referenced in the disclosure but not reproduced in this preliminary pricing supplement, contains information about how the closing value will be determined and what adjustments may be made to the securities' terms upon the occurrence of market disruption events. The filing indicates that specific procedural details regarding market disruption events and their potential impact on valuation dates and pricing mechanics are contained in the product supplement, which investors should review carefully.

The filing notes that the securities are governed by terms set forth in the accompanying product supplement, prospectus supplement, and prospectus, as supplemented by this pricing supplement. The disclosure emphasizes that readers should review all accompanying documents together before deciding whether to invest, as important information regarding market disruption adjustments, closing value determination procedures, and other material terms are not repeated in the preliminary pricing supplement. This modular disclosure approach requires investors to assemble information from multiple documents to obtain a complete understanding of the securities' mechanics and risks.

Registration and SEC Disclosure Compliance

The filing is registered under Securities and Exchange Commission rules as a preliminary pricing supplement filed pursuant to Rule 424(b)(2), with a subject-to-completion date of July 28, 2026. The securities are tied to Registration Statement Nos. 333-293732 and 333-293732-02, and are identified by CUSIP 17334CCV4 and ISIN US17334CCV46. The filing includes the mandatory SEC disclaimer stating that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that the pricing supplement and accompanying documents are truthful or complete.

The disclosure references accompanying documents including Product Supplement No. EA-02-12 dated February 25, 2026, Underlying Supplement No. 13 dated February 25, 2026, and Prospectus Supplement and Prospectus each dated February 25, 2026. Investors are directed to access these documents via hyperlinks as part of the complete offering materials. The filing emphasizes that the preliminary nature of this pricing supplement means that certain terms, including the total issue price, total underwriting fee, and total proceeds to the issuer, remain subject to completion and will be finalized at the conclusion of the pricing process.