Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement (Form 424B2, Pricing Supplement No. 2026-USNCH33497) on August 4, 2026, for Autocallable Contingent Coupon Equity Linked Securities linked to the worst performing of three major equity indexes, due August 18, 2031.

Key Highlights

  • Issuer and guarantor: Securities are issued by Citigroup Global Markets Holdings Inc. and fully and unconditionally guaranteed by Citigroup Inc. (NYSE: C).
  • Stated principal amount: $1,000 per security, with an issue price of $1,000.00 and an underwriting fee of up to $41.25 per security, leaving proceeds to the issuer of $958.75 per security.
  • Contingent coupon rate: At least 0.6708% per valuation period (equivalent to at least approximately 8.05% per annum), paid only if the worst performing underlying closes at or above its coupon barrier value of 75.00% of its initial underlying value.
  • Underlyings: The Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index; returns depend solely on the worst performing of the three.
  • Final barrier value: 70.00% of each underlying's initial underlying value; if the worst performer closes below this level at maturity, investors receive less than the $1,000 principal and possibly nothing.
  • Estimated value: Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date will be at least $900.00 per security, less than the $1,000 issue price.
  • Maturity and autocall: Securities mature August 18, 2031, unless automatically redeemed early if the worst performing underlying closes at or above its initial underlying value on a potential autocall date.

Structure and Risk Terms of the Citigroup Autocallable Securities

According to the filing, the securities are unsecured Medium-Term Senior Notes, Series N, with a pricing date of August 13, 2026, and an issue date of August 18, 2026. The underwriter is Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acting as principal. The filing states the securities will not be listed on any securities exchange, which the supplement notes creates the risk of limited or no liquidity.

The filing discloses that contingent coupon payments are not guaranteed. On each contingent coupon payment date, a payment equal to at least 0.6708% of the stated principal amount is made "if and only if" the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value (75.00% of its initial value). If that condition is not met, no coupon is paid for that period. The filing schedules valuation dates monthly from September 14, 2026, through August 13, 2031.

At maturity, if the securities have not been automatically redeemed and the worst performing underlying's final value is less than its final barrier value (70.00% of its initial underlying value), investors receive $1,000 plus $1,000 multiplied by the underlying return of the worst performing underlying, which the filing states could result in a loss that is "significantly less than the stated principal amount" and "possibly nothing." The filing also notes that CGMI and its affiliates "may profit from expected hedging activity related to this offering, even if the value of the securities declines," and that an additional fee of up to $1.50 per security may be paid to electronic platform providers.

What Was Disclosed

The filing is a preliminary pricing supplement for autocallable equity-linked notes issued by Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., with a contingent coupon of at least approximately 8.05% per annum, principal at risk at maturity, and an estimated value of at least $900.00 per security against a $1,000 issue price.