Citigroup Issues Autocallable Securities Linked to Three Major Stock Indexes With Potential Early Redemption

Complex Autocallable Structure With Multiple Valuation Points

The securities filed on July 27, 2026, represent a structured product with multiple mechanisms designed to provide early exit opportunities for both issuer and investors. Unlike conventional debt securities, these notes do not pay periodic interest and do not guarantee repayment of principal at maturity. Instead, their value depends entirely on the performance of the worst performing underlying among the three major indexes. The filing discloses that valuation dates occur on August 10, 2027, August 7, 2028, August 7, 2029, August 7, 2030, and August 7, 2031, with each date subject to postponement if it falls on a non-trading day or if market disruption events occur.

The automatic early redemption feature triggers if the worst performing underlying's closing value on any valuation date (excluding the final valuation date) reaches or exceeds its initial value from the pricing date. When this occurs, the securities redeem automatically on the third business day following that valuation date for $1,000 plus the applicable premium. This structure incentivizes recovery scenarios where investors can exit with gains before maturity. However, the filing emphasizes that if securities are automatically redeemed following any early valuation date, they cease to be outstanding and investors forfeit the opportunity to receive any premium applicable to later valuation dates.

Premium Payments Scale Progressively Across Five Valuation Dates

The compensation structure offers escalating premiums that increase substantially with each successive valuation date, providing higher rewards for those willing to hold longer if early redemption does not occur. The filing specifies that premiums equal 9.70% of stated principal amount on August 10, 2027, increasing to 19.40% on August 7, 2028, then 29.10% on August 7, 2029, 38.80% on August 7, 2030, and 48.50% on the final valuation date of August 7, 2031. These premiums apply only if the worst performing underlying has recovered to or surpassed its initial value by the respective valuation date.

The scaling structure reflects the time value and volatility risk embedded in the product. The final premium of 48.50% represents the total potential gain if all three indexes recover to their August 7, 2026 pricing date levels and the securities remain outstanding through maturity. However, the disclosure notes that these premiums may be significantly less than the actual appreciation of any individual underlying index during the same period, meaning investors forgo unlimited upside participation while accepting the worst-case downside exposure.

Downside Protection Limited to 60 Percent Barrier Level

The securities include a final barrier value set at 60% of the initial underlying value for each of the three indexes. This barrier establishes the threshold below which catastrophic losses become possible. The filing explains that if the worst performing underlying's final value on August 7, 2031 falls below this 60% barrier, investors experience dollar-for-dollar loss participation. Specifically, for every 1% by which the final underlying value falls below the initial underlying value, investors lose 1% of the stated principal amount.

This structure creates a substantial gap in downside protection between the 60% barrier and the initial value. If the worst performing index declines from 100 to 59, investors receive $1,000 with no premium. However, if the worst performing index falls below 60 and drops, for example, to 40 (a 40% decline), investors would receive only $600 per security. The filing warns explicitly that investors could receive significantly less than the stated principal amount and "possibly nothing" at maturity in severe downside scenarios.

Investor Risk Exposure Concentrated on Worst Performing Index

The fundamental design of these securities creates asymmetric risk by tracking the weakest performer among three major indexes rather than an average or equally weighted basket. The filing emphasizes that "you will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in any one of the underlyings." This means that even if two of the three indexes remain stable or appreciate, a significant decline in the Russell 2000, Dow Jones Industrial Average, or S&P 500 alone will determine the security's outcome.

Additionally, investors receive no dividend payments from any underlying index and do not participate in appreciation beyond the premium structure. The filing explicitly states that investors will not receive dividends and will not participate in any appreciation of any underlying, meaning all equity return benefits are capped at the premium levels. This creates a scenario where an investor holds a security tracking three major equity indexes but receives neither the income nor the full appreciation potential of those indexes.

Pricing and Valuation Considerably Below Par

The filing discloses that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date of August 7, 2026 will be at least $900 per security, representing a discount of at least $100 or 10% below the $1,000 issue price. This valuation estimate is based on the issuer's proprietary pricing models and internal funding rate. Critically, the disclosure states this 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."

The underwriting fee structure totals $41 per security, with Citigroup Global Markets Inc. as the underwriter also receiving potential fees of up to $1.00 per security paid by electronic platform providers. The net proceeds to the issuer total $959 per security sold, after deducting the underwriting fee from the $1,000 issue price. This fee structure and pricing approach means investors begin the investment with a built-in valuation discount, requiring immediate appreciation in the underlying indexes to offset this initial loss.

Credit Risk Tied Directly to Citigroup

The securities are issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by the parent company Citigroup Inc. The filing explicitly states that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." This means investors carry credit risk equivalent to unsecured debt of one of the largest financial institutions in the United States.

The disclosure emphasizes that these securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. If either Citigroup Global Markets Holdings Inc. or Citigroup Inc. defaults on their obligations, investors may receive no payments whatsoever, regardless of the underlying index performance. This credit risk operates independently from and in addition to the market risk tied to the three stock indexes.

Liquidity Constraints and Secondary Market Uncertainty

The filing discloses that the securities will not be listed on any securities exchange, immediately restricting their liquidity profile. Investors must be willing to accept "an investment that may have limited or no liquidity" according to the disclosure. The absence of exchange listing means there is no centralized market where investors can readily sell these securities to other buyers, potentially trapping investors who need to exit prior to maturity or an automatic early redemption event.

The estimated valuation of $900 per security provided by the issuer offers no indication of prices at which the issuer or secondary market participants might be willing to purchase the securities from investors after issuance. Investors wishing to sell must negotiate prices directly with potential buyers, who may demand substantial discounts to compensate for the illiquidity and credit risk. This lack of transparency regarding secondary market pricing creates additional uncertainty about exit options.

Product Registration and Regulatory Status

The offering is registered under Securities and Exchange Commission Registration Statement Nos. 333-293732 and 333-293732-02, with this pricing supplement filed pursuant to Rule 424(b)(2). The filing is dated July 27, 2026, as a preliminary pricing supplement marked "subject to completion," indicating that final terms including the total offering amount remain subject to change. The accompanying product supplement, underlying supplement, prospectus supplement, and prospectus documents dated February 25, 2026 provide additional detailed disclosures that investors should review prior to purchase.

The SEC's disclaimer in the filing states 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. Any representation to the contrary would constitute a criminal offense. The preliminary nature of this supplement indicates that final pricing and terms will be confirmed in a final pricing supplement prior to the August 12, 2026 issue date.

Strategic Implications for Structured Product Investors

These securities appeal to investors with specific market views, particularly those who believe in near-term recovery across major stock indexes or those seeking structured products with predetermined outcome parameters. The autocallable feature provides an early exit mechanism that could return capital plus premium within one year if underlying indexes recover quickly. However, the structure simultaneously caps upside returns while concentrating downside risk on the single weakest performer among three major indexes.

The filing suggests investors should carefully evaluate whether the potential premiums justify accepting the combination of credit risk tied to Citigroup, liquidity constraints from non-exchange listing, valuation discount at issuance, and worst-case downside exposure below the 60% barrier. The product appears designed for investors comfortable with structured outcomes and who do not expect simultaneous declines across all three major indexes of more than 40% over the five-year term.