Citigroup Issues Autocallable Notes Linked to Eaton Corporation Stock With Contingent Coupon Payments

Structure and Key Terms of the Autocallable Securities

The securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by parent company Citigroup Inc. represent an autocallable debt instrument linked to the performance of Eaton Corporation plc stock. The offering consists of medium-term senior notes with a stated principal amount of $1,000 per security and a pricing date of August 7, 2026, with issuance occurring on August 12, 2026. The securities have a defined maturity date of September 10, 2027, unless automatically redeemed earlier through the autocall feature.

The structure incorporates monthly valuation dates beginning September 8, 2026, and concluding with a final valuation date on September 7, 2027. On each valuation date, the closing value of Eaton Corporation stock determines whether investors receive contingent coupon payments on the following business day. Contingent coupon payments are made at 0.9625% of the stated principal amount per payment date, which translates to an annualized rate of 11.55% if all payments are received in full. The contingent coupon framework creates a higher-yield profile than conventional Citigroup debt securities of comparable maturity, but contingent on the underlying stock maintaining a closing value at or above the coupon barrier value of 60% of the initial underlying value.

Contingent Coupon Mechanism and Payment Conditions

The contingent coupon structure creates a conditionality framework where investors receive payment only when specified performance thresholds are achieved. On each valuation date, if the closing value of Eaton Corporation stock is greater than or equal to the coupon barrier value (set at 60% of the initial underlying value), investors receive the full contingent coupon payment three business days later. If the closing value falls below the coupon barrier, no contingent coupon payment is made on the corresponding payment date. This feature directly links coupon income to the underlying equity performance, distinguishing these securities from conventional fixed-income instruments where coupon payments are not performance-dependent.

The coupon barrier mechanism operates across thirteen valuation dates scheduled throughout the life of the securities. Investors face the risk that a decline in Eaton Corporation stock below the barrier level during any single valuation period results in a missed coupon payment for that period, with no make-up or acceleration of deferred payments. The final valuation date on September 7, 2027, determines whether the final contingent coupon payment is made on or around the maturity date. The disclosure emphasizes that investors may not receive one or more, or potentially any, contingent coupon payments depending on underlying stock performance, thereby substantially lowering the effective yield compared to the annualized rate if conditions are not met consistently throughout the offering period.

Autocall Feature and Early Redemption Risk

The securities incorporate an automatic early redemption feature that triggers on seven potential autocall dates scheduled for February 8, 2027, March 8, 2027, April 7, 2027, May 7, 2027, June 7, 2027, July 7, 2027, and August 9, 2027. On any of these dates, if the closing value of Eaton Corporation stock is greater than or equal to the initial underlying value, each security is automatically called for redemption on the immediately following contingent coupon payment date. Upon autocall, investors receive $1,000 in cash plus the related contingent coupon payment for that period. The disclosure states that the automatic early redemption feature may significantly limit investor potential returns on the securities.

The autocall mechanism creates a scenario where favorable underlying stock performance results in early termination of the investment, thereby cutting short opportunities to receive additional contingent coupon payments over the full maturity period. If Eaton Corporation stock recovers to or exceeds its initial valuation price at any point between February and August 2027, the securities are likely to be called for redemption, limiting investors' ability to benefit from extended appreciation or continued coupon income streams. The disclosure notes that securities may be automatically called for redemption as early as the first potential autocall date in February 2027, meaning investors have limited certainty regarding the actual holding period for their investment.

Downside Risk and Potential Principal Loss at Maturity

The securities carry substantial downside equity exposure that may result in significant principal loss if the underlying Eaton Corporation stock declines materially by the final valuation date. At maturity, if the final underlying value (closing price on September 7, 2027) is greater than or equal to the final barrier value (set at 60% of the initial underlying value), investors receive the full $1,000 stated principal amount. However, if the final underlying value falls below the final barrier value, investors instead receive a fixed number of Eaton Corporation shares equal to the equity ratio, calculated as the stated principal amount divided by the initial underlying value.

The equity ratio structure means that if Eaton stock declines significantly, investors receive shares worth substantially less than the $1,000 principal amount. In extreme scenarios where the stock declines more than 60% from initial valuation, the share-based recovery may be worth close to zero. The disclosure explicitly states that investors may receive underlying shares (or, at Citigroup's sole discretion, the cash equivalent) that will be worth significantly less than the stated principal amount and possibly nothing at maturity. Furthermore, if the final underlying value is below the final barrier value, investors do not receive any contingent coupon payment at maturity, compounding the loss. The structure exposes investors to full downside equity risk while limiting upside participation through the autocall feature, creating an asymmetric risk-return profile.

Pricing and Estimated Value Assessment

Citigroup Global Markets Holdings Inc. established an issue price of $1,000 per security with an underwriting fee of $21.50 per security, resulting in net proceeds to the issuer of $978.50 per security. However, the disclosure indicates that the estimated value of the securities on the pricing date of August 7, 2026, is expected to be at least $916.50 per security, which is substantially below the $1,000 issue price. This $83.50-per-security valuation discount reflects the embedded risks associated with the contingent coupon structure, autocall feature, and potential principal loss at maturity.

The estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate methodology. The disclosure clarifies that this estimated value is not an indication of actual profit to Citigroup or its affiliates, nor does it represent the price at which Citigroup or other market participants may be willing to repurchase the securities after issuance. This distinction acknowledges the potential for significant valuation deterioration and limited secondary market liquidity for the securities. The disclosure notes 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, indicating that the firm's financial interest may diverge from investor returns on the underlying securities themselves.

Eaton Corporation as Underlying Reference

The securities are linked to the stock performance of Eaton Corporation plc, a diversified industrial manufacturer. Eaton Corporation operates across multiple business segments including electrical products, hydraulics, aerospace, vehicle electrification, and industrial technology sectors. The selection of Eaton stock as the underlying reflects Citigroup's product development strategy to create equity-linked structured products on established multinational industrial companies with significant market capitalization and trading liquidity, which facilitates the hedging and valuation operations that Citigroup undertakes to manage its exposure to the linked securities.

Investors receive no dividends with respect to Eaton Corporation stock and do not participate in any appreciation of the underlying security beyond the potential return of principal at maturity if the autocall condition is not triggered and the final barrier is not breached. The underlying stock serves solely as the performance metric that determines contingent coupon payment eligibility and the equity ratio calculation in the event of principal loss. The choice of Eaton Corporation as an underlying reflects Citigroup's assessment of an established industrial equity suitable for structured product securitization, though the disclosure does not provide specific information regarding Citigroup's analysis of Eaton's business fundamentals or forward-looking performance expectations.

Credit Risk and Guarantee Structure

All payments on the securities, including contingent coupon payments and principal amounts at maturity or upon early redemption, are subject to the credit risk of both Citigroup Global Markets Holdings Inc. (the issuer) and Citigroup Inc. (the guarantor). Citigroup Global Markets Holdings Inc. is identified in the disclosure as a wholly owned subsidiary of Citigroup Inc., and the securities are fully and unconditionally guaranteed by the parent company. This guarantee structure means that investors have recourse to Citigroup Inc. if the subsidiary issuer defaults on its payment obligations, but investors do not have recourse beyond Citigroup's creditworthiness.

The disclosure explicitly states that investors must be willing to accept the risk of not receiving any payments due under the securities if Citigroup Global Markets Holdings Inc. and Citigroup Inc. both default on their obligations. This credit risk layer operates independently of the underlying Eaton Corporation stock performance. Even if Eaton stock maintains strong valuation and would otherwise trigger coupon payments or principal recovery, any default by Citigroup or its subsidiary would prevent those payments from reaching investors. The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, establishing that investor protection depends entirely on Citigroup's financial stability and contractual performance.

Liquidity Limitations and Secondary Market Considerations

The securities will not be listed on any securities exchange, and the disclosure emphasizes that investors must be willing to accept an investment that may have limited or no liquidity. Citigroup Global Markets Inc. serves as the principal underwriter of the offering, but the disclosure does not commit the firm or its affiliates to maintaining a secondary market in the securities after issuance. The lack of exchange listing and the structured, customized nature of the securities make them inherently illiquid instruments that investors may be unable to liquidate prior to maturity, even if their assessed value or market circumstances change significantly.

The estimated value of $916.50 per security (versus the $1,000 issue price) suggests considerable embedded cost, and the lack of liquidity means investors cannot readily exit positions to mitigate losses if the underlying stock declines or market conditions deteriorate. Investors seeking to redeem their securities prior to maturity would need to negotiate directly with Citigroup or find willing counterparties, and any such transactions would likely be executed at prices substantially below the stated principal amount. The limited liquidity feature represents a material risk factor that differentiates these securities from exchange-traded equity or debt instruments and may substantially constrain investor flexibility regarding position management throughout the securities' holding period.

Comparison to Conventional Debt Securities and Investor Suitability

The disclosure framework positions these autocallable contingent coupon securities as alternatives to conventional Citigroup debt securities of comparable maturity. The potential annualized contingent coupon rate of 11.55% (if all coupon payments are received) significantly exceeds the yield on traditional fixed-income instruments of the same maturity, reflecting compensation for the additional risks inherent in the structure. However, the actual yield realized by investors may be substantially lower if contingent coupons are not paid due to underlying stock declines, if the securities are called early via the autocall mechanism, or if principal is lost at maturity due to breach of the 60% final barrier.

The disclosure indicates that these securities are designed for investors willing to accept downside equity exposure, contingent income payments, early redemption risk, and limited liquidity in exchange for potentially higher current income. Conventional debt securities offer fixed coupon payments regardless of underlying stock performance, while these structured securities offer the potential for higher income only if the underlying equity maintains adequate valuation. The explicit risk disclosures emphasize that the higher coupon potential comes at the cost of asymmetric risk exposure where principal losses are possible, upside is capped by the autocall feature, and income is conditional on market performance. This comparison framework highlights that suitability for these securities depends on individual investor risk tolerance and investment objectives aligned with structured product exposure.

Regulatory Filing Status and Investment Disclaimer

The pricing supplement was filed pursuant to Securities and Exchange Commission Rule 424(b)(2) on July 23, 2026, under registration statement numbers 333-293732 and 333-293732-02. The document status is marked as preliminary, indicating that final pricing and certain terms may be subject to completion. The accompanying materials include a product supplement (Product Supplement No. EA-04-12 dated February 25, 2026) and a prospectus supplement and prospectus each dated February 25, 2026, which contain additional detailed disclosures regarding the securities, risks, and terms not fully elaborated in the pricing supplement itself.

The disclosure contains standard regulatory language 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 issuance of these securities is contingent upon completion of the preliminary pricing supplement and satisfaction of all conditions precedent to the offering. Investors are directed to review the complete product supplement, prospectus supplement, and prospectus in conjunction with the pricing supplement to obtain comprehensive disclosure regarding investment risks, Citigroup's business operations, and the detailed terms and conditions governing the securities.