Citigroup Issues Autocallable Securities Linked to Three Major Stock Indices Through August 2031

Structure of the Autocallable Securities Offering

The disclosure outlines a structured product issued by Citigroup Global Markets Holdings Inc., with full guarantee by Citigroup Inc. The securities are unsecured debt obligations that do not pay interest and do not guarantee repayment of principal at maturity. Unlike conventional bonds, these notes represent a complex instrument whose value depends entirely on the performance of the worst performing among three underlying indices: the Dow Jones Industrial Average, Russell 2000 Index, and S&P 500 Index. The stated principal amount per security is $1,000, with an issue date of August 19, 2026, and maturity date of August 19, 2031.

The offering will be priced on August 14, 2026, with the initial underlying value for each index established as its closing value on that pricing date. This structure creates an asymmetric investment profile where investors are exposed to downside risk from any of the three indices but benefit only from the worst performer among them. The filing indicates that Citigroup Global Markets Inc. will serve as the underwriter for the offering, acting as principal in the distribution.

Automatic Early Redemption Mechanics and Valuation Dates

The securities feature nine scheduled valuation dates at approximately six-month intervals, beginning August 17, 2027, and concluding on the final valuation date of August 14, 2031. On each valuation date other than the final one, if the closing value of the worst performing underlying reaches or exceeds 95% of its initial underlying value, the securities will be automatically redeemed three business days later. Upon automatic redemption, investors will receive $1,000 plus a premium specific to that valuation date. The filing does not disclose the specific premium percentages applicable to each valuation date in this preliminary pricing supplement.

The automatic early redemption feature incentivizes investors to accept a positive return and exit the investment rather than continue holding the securities. However, the filing states that once securities are redeemed following any valuation date prior to maturity, they cease to be outstanding and investors forfeit eligibility for any premium that would apply to later valuation dates. This structure creates a trade-off where investors who benefit from early redemption lose exposure to potentially larger premiums available if the indices continue to perform well.

Downside Risk and Final Barrier Protections

The securities incorporate a final barrier value set at 75% of the initial underlying value for each index. If the worst performing underlying closes below this 75% threshold on the final valuation date and the securities have not been previously redeemed, investors face substantial losses. The disclosure specifies that for every 1% by which the final underlying value falls below the initial underlying value, investors will lose 1% of the stated principal amount. This means that if the worst performing index declines 20% from its initial value, investors would receive only $800 per security at maturity, representing a 20% loss.

Between the autocall barrier of 95% and the final barrier of 75%, investors receive protection of the full principal amount with no premium. The disclosure emphasizes that if the final underlying value falls below the final barrier value, investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity." This language indicates the potential for near-total loss if market conditions deteriorate substantially during the five-year holding period. The filing explicitly states that investors will have no upside participation in any appreciation of the underlying indices and will not receive dividends.

Underwriting Terms and Estimated Valuation

The issue price for the securities is $1,000 per security, with Citigroup Global Markets Inc. receiving an underwriting fee of $20.00 per security. The actual proceeds to the issuer amount to $980.00 per security, assuming the maximum underwriting fee. The filing discloses that selected dealers not affiliated with Citigroup Global Markets Inc. will receive a variable selling concession of up to $20.00 per security and a structuring fee of up to $6.50 per security from the underwriting fee. Additional fees may be paid to electronic platform providers for securities sold through such platforms.

The disclosure indicates that Citigroup Global Markets Holdings Inc. estimates the value of the securities on the pricing date will be at least $915.50 per security, which is significantly less than the $1,000 issue price. This $84.50 per-security valuation gap reflects the embedded costs of the structured product, including the underwriting fee, the complexity of the derivative components, and the issuer's internal funding costs. The filing explicitly states that this estimated value "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."

Liquidity Constraints and Secondary Market Considerations

The filing discloses that the securities will not be listed on any securities exchange, creating a significant liquidity constraint for investors. The preliminary pricing supplement explicitly warns that investors "must be willing to accept (i) an investment that may have limited or no liquidity." This absence of exchange listing means that investors cannot readily sell their securities on a public secondary market and must rely on any willingness by Citigroup or other dealers to repurchase the securities at negotiated prices. Such prices may be substantially less favorable than the estimated valuation provided at issuance.

The lack of liquidity creates a de facto lock-in effect for most investors, particularly those holding smaller quantities of securities. Should an investor's financial circumstances change or market conditions deteriorate, the ability to exit the position before maturity may be extremely limited or unavailable. This liquidity risk is particularly acute given the five-year maturity and the complex structure that makes traditional valuation methods inapplicable for retail investors attempting to determine fair value for a potential secondary purchase or sale.

Credit Risk and Guarantee Structure

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the direct issuer, and Citigroup Inc., which provides a full and unconditional guarantee of all payments. The filing emphasizes that "Investors in the securities must be willing to accept...the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations." This dual credit exposure means that investors are entirely dependent on the creditworthiness of both entities, with no recourse to underlying collateral or other security mechanisms.

While Citigroup Inc. is a systemically important financial institution, the guarantee from the parent company does not eliminate credit risk. The disclosure notes that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. This distinction is critical for investors who may otherwise assume that obligations of a major bank carry implicit government protection or deposit insurance, which they do not.

Multi-Index Worst-Performer Design and Diversification Concerns

The structure of linking the securities to the worst performing of three indices creates a concentrated downside risk that differs fundamentally from owning the indices themselves or conventional diversified portfolios. The disclosure warns 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 indices perform strongly, the entire payoff structure is determined by whichever index performs most poorly.

In a scenario where the Dow Jones Industrial Average declines 20%, the Russell 2000 declines 15%, and the S&P 500 declines 10%, the securities would be valued based entirely on the Dow's 20% decline, ignoring the better performance of the other two indices. This structure effectively penalizes investors by creating a mathematical bias toward worst-case outcomes. The filing explicitly states that investors "will not receive dividends with respect to any underlying or participate in any appreciation of any underlying," meaning there is no offsetting benefit from dividend reinvestment or appreciation participation to balance the worst-performer structure.

Risk Factors and Market Disruption Provisions

The filing references that detailed risk factors are provided beginning on page PS-7 of the pricing supplement, though the specific risk factor discussions are not included in the document provided. However, the disclosure does address certain market disruption contingencies by stating that valuation dates are "each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur." This postponement provision creates uncertainty about when the actual valuation will occur and could extend the holding period if market disruptions are widespread or prolonged.

The preliminary nature of the pricing supplement means that final terms, including the specific premium percentages, are subject to change prior to completion of the offering. The filing header states "The information in this preliminary pricing supplement is not complete and may be changed," indicating that investors evaluating this opportunity should await the final pricing supplement for confirmed details. The disclosure also notes that a registration statement relating to these securities has been filed with the Securities and Exchange Commission under registration statement numbers 333-293732 and 333-293732-02.

Valuation Methodology and Investor Considerations

The filing discloses that the estimated value of $915.50 per security is "based on CGMI's proprietary pricing models and our internal funding rate." This approach means that Citigroup's own valuation models, which are not transparent to investors, determine the estimated worth of the securities at issuance. The filing explicitly disclaims any representation that this estimated value is "an indication of actual profit to CGMI or other of our affiliates" or an indication of any future secondary market pricing. This language suggests potential conflicts of interest, as Citigroup and its affiliates may profit from hedging activity related to the offering even if the securities decline in value after issuance.

Investors should recognize that the $84.50 per-security difference between the issue price of $1,000 and the estimated value of $915.50 represents the embedded cost of the structured product. This cost is not recovered through higher potential returns; rather, it reflects the cost to investors of obtaining exposure to the payoff structure. The filing indicates that in addition to underwriting fees, "CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines," creating additional embedded costs that investors will bear but cannot directly observe.

Regulatory Context and Investor Protections

The preliminary pricing supplement is filed pursuant to Rule 424(b)(2) of the Securities Act and references registration statements 333-293732 and 333-293732-02. The filing includes standard SEC-mandated disclaimers that "Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete." This language emphasizes that SEC review of the offering does not constitute an endorsement or judgment regarding the investment merits of the securities.

Investors considering this offering are directed to review the accompanying product supplement, underlying supplement, prospectus supplement, and base prospectus for additional information. These documents, dated February 25, 2026, are referenced as containing material information about the structure and risks of the securities. The filing emphasizes that investors should read all supporting documentation before making an investment decision. The preliminary nature of the pricing supplement indicates that the final terms and conditions may differ from those presented in this initial filing, and investors should await the final pricing supplement before making any commitment to invest.