Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement on August 4, 2026, for autocallable medium-term senior notes linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, with a stated maturity of August 29, 2031, guaranteed by Citigroup Inc. (NYSE: C).

Key Highlights

  • Stated principal amount: $1,000 per security, with an issue price of $1,000.00 and an underwriting fee of up to $45.00 per security, leaving proceeds to the issuer of $955.00 per security.
  • Estimated value: Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date will be at least $912.80 per security, which the filing notes will be less than the issue price.
  • Final barrier value: 50.00% of the initial underlying value; if the final underlying value falls below this level, investors lose 1% of stated principal for every 1% decline below the initial underlying value.
  • Automatic early redemption: Securities may be redeemed on the third business day following any valuation date prior to the final valuation date on which the underlying closes at or above the initial underlying value, with premiums starting at 21.75% for the August 27, 2027 valuation date.
  • No interest or principal guarantee: According to the filing, the securities do not pay interest and do not guarantee repayment of principal at maturity.
  • Underlying risk: The filing states the underlying "is highly risky because it may reflect highly leveraged exposure to any decline in the S&P 500 Futures Excess Return Index" and is subject to a 6% per annum decrement.
  • Pricing and issue dates: Pricing date is August 26, 2026; issue date is August 31, 2026; maturity date is August 29, 2031, unless earlier redeemed.

Structure and Risk Profile of Citigroup's Autocallable Decrement-Index Notes

According to the preliminary pricing supplement filed under Rule 424(b)(2), Citigroup Global Markets Holdings Inc. is offering autocallable medium-term senior notes, Series N, linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER. The securities are fully and unconditionally guaranteed by Citigroup Inc. and are underwritten by Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acting as principal. The securities will not be listed on any securities exchange.

The filing describes a conditional repayment structure. If the securities are not automatically redeemed prior to maturity and the final underlying value is at or above the initial underlying value, investors receive $1,000 plus the applicable premium. If the final underlying value is below the initial underlying value but at or above the final barrier value of 50.00% of the initial underlying value, investors receive only $1,000 with no premium. If the final underlying value falls below the final barrier value, the filing states investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity." The filing explicitly notes that investors "will not receive dividends with respect to the underlying or participate in any appreciation of the underlying."

The filing discloses that the S&P 500 Futures Excess Return Index "is likely to underperform the S&P 500 Index because of an implicit financing cost," and that the 6% per annum decrement "will be a significant drag on its performance." CGMI and its affiliates may also profit from expected hedging activity related to this offering. In addition, the filing notes CGMI will pay a fee of up to $2.00 per security to electronic platform providers in applicable transactions. All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement for autocallable notes due August 29, 2031, linked to a decrement index. Key terms include a $1,000 issue price, an estimated value of at least $912.80, a 50% barrier, and periodic premiums beginning at 21.75%.