Citigroup Launches Autocallable Barrier Securities Linked to Russell 2000 Index With 13.45% Premium Feature

Structured Note Design and Automatic Redemption Feature

The securities issued under this offering are unsecured debt obligations of Citigroup Global Markets Holdings Inc., fully guaranteed by Citigroup Inc. Unlike conventional fixed-income securities, these notes do not pay periodic interest and do not guarantee repayment of principal at maturity. Instead, their economic outcome depends entirely on the performance of the Russell 2000 Index from the pricing date of July 28, 2026, through the maturity date.

The defining characteristic of this offering is its autocallable structure with an early redemption feature. The disclosure states that if the closing value of the Russell 2000 Index on August 4, 2027—the valuation date prior to the final valuation date—is greater than or equal to the initial underlying value, the securities will automatically be redeemed on the third business day following that date. Upon such redemption, investors will receive $1,000 plus a premium of 13.45% of the stated principal amount, equating to $134.50 per security. Once automatically redeemed, these securities cease to be outstanding and investors forgo any opportunity to participate in further appreciation of the underlying index through maturity.

Downside Protection Mechanism and Barrier Level

The pricing supplement discloses that the final barrier value is set at 80.00% of the initial underlying value. This barrier level functions as a contingent repayment threshold designed to limit losses under specified conditions. If the securities are not automatically redeemed prior to maturity and the final underlying value on July 30, 2029 remains greater than or equal to this 80% barrier, investors will receive their full $1,000 stated principal amount at maturity, regardless of any decline in the index from the pricing date.

However, the disclosure emphasizes that if the securities are not automatically redeemed and the final underlying value falls below the 80% barrier, investors will lose principal proportionally. Specifically, the filing states that investors will lose 1% of their stated principal amount for every 1% by which the final underlying value falls below the initial underlying value. In the most extreme scenario, if the index declines substantially below the barrier, investors could receive significantly less than the stated principal or potentially nothing at maturity. The prospectus supplement notes this represents a material downside exposure that distinguishes these securities from conventional principal-protected debt.

Upside Participation and Return Calculation

For investors whose securities are not automatically redeemed prior to maturity, the filing discloses an upside participation rate of 150.00%. This means that if the final underlying value is greater than the initial underlying value at maturity, the return amount equals $1,000 multiplied by the underlying return multiplied by 1.5. In practical terms, investors participate in 150% of any appreciation of the Russell 2000 Index from the pricing date through the final valuation date on July 30, 2029.

The disclosure clarifies that the underlying return is calculated as the final underlying value minus the initial underlying value, divided by the initial underlying value. This calculation determines both the premium trigger for automatic redemption and the upside participation at maturity. The filing emphasizes that although investors will have downside exposure to the underlying index, they will not receive any dividends with respect to the index. This means that if the index pays dividends during the holding period, those dividend payments do not factor into the return calculation and do not offset potential losses.

Valuation Timeline and Market Disruption Provisions

The offering establishes two critical valuation dates: August 4, 2027, and July 30, 2029 (the final valuation date). The filing notes that each valuation date is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. The prospectus supplement, referenced in the disclosure but not reproduced in detail here, contains important information about how the closing value of the Russell 2000 Index will be determined and what adjustments may be made upon market disruptions.

The maturity date is set for August 2, 2029, unless the securities are earlier redeemed. The approximately three-year term provides investors with exposure to medium-term equity index performance. The staggered valuation schedule creates two distinct investment phases: the period from July 28, 2026, to August 4, 2027, during which the 13.45% premium trigger can be activated, and the subsequent period through July 30, 2029, during which the final maturity payments are determined.

Pricing, Underwriting Economics, and Estimated Value

The securities are priced at $1,000 per security with an underwriting fee of $21.00 per security payable to Citigroup Global Markets Inc. (CGMI), the underwriter and an affiliate of the issuer. This results in net proceeds to the issuer of $979.00 per security. The disclosure indicates that CGMI will distribute portions of this underwriting fee to selected dealers not affiliated with CGMI, allocating $20.00 per security as a selling concession and up to $1.00 per security as a structuring fee.

A critical disclosure in this pricing supplement concerns estimated valuation. Citigroup states that it currently expects the estimated value of the securities on the pricing date will be at least $920.50 per security, which is substantially less than the $1,000 issue price. The filing explicitly notes that this estimated value is based on CGMI's proprietary pricing models and internal funding rate, and that it "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." This $79.50 difference ($1,000 minus $920.50) represents the inherent cost of the embedded options and structuring built into these securities, which investors should carefully consider.

Liquidity and Credit Risk Considerations

The pricing supplement contains prominent warnings regarding liquidity and credit exposure. The disclosure states that investors in these securities must be willing to accept an investment that may have limited or no liquidity. Unlike exchange-listed securities, the filing specifies that the securities will not be listed on any securities exchange. This lack of listing significantly constrains investors' ability to exit their positions before maturity. The prospectus supplement, cross-referenced in this pricing document, presumably contains more detailed information on any secondary market making or liquidity arrangements, but such details are not provided in the preliminary pricing supplement.

The credit risk disclosure is equally substantial. The filing emphasizes that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." The securities are fully and unconditionally guaranteed by Citigroup Inc., meaning investors have recourse only to Citigroup and its subsidiary in the event of default. The prospectus supplement 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, nor are they obligations of or guaranteed by any bank.

Comparison to Dividend-Adjusted Index Performance

An important feature disclosed in the pricing supplement is that investors will not receive any dividends paid by companies included in the Russell 2000 Index. This represents a significant difference from owning the underlying index directly through a standard equity fund or exchange-traded fund. During a three-year holding period, particularly in a market environment where dividend yields are meaningful, the absence of dividend reinvestment or pass-through could materially impact realized returns.

This design choice affects both the upside and downside scenarios. On the positive side, if investors benefit from the 150% upside participation rate and the index appreciates substantially, they capture more than proportional gains. However, if the index experiences modest appreciation partially offset by dividend payments, investors will participate only in the price appreciation, not the total return. Conversely, in a declining market scenario where downside protection is tested, the lack of dividend income cannot cushion losses for investors whose securities fall below the 80% barrier.

Hedging Activity and Affiliate Profitability

The disclosure notes that CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines. This language indicates that the underwriter and affiliated entities will establish derivative hedges to manage their risk exposure from issuing these structured products. Such hedging strategies may be profitable independently of the securities' performance to investors, creating a potential conflict of interest.

Additionally, the filing mentions that CGMI will pay to one or more electronic platform providers a fee for each security sold where related selected dealers and custodians implement or utilize such providers. This fee structure represents an additional cost embedded in the distribution process, though specific amounts are not disclosed in the pricing supplement.

Preliminary Pricing Supplement Status and Documentation Requirements

The filing is dated July 28, 2026, and is labeled "subject to completion" with a note that "the information in this preliminary pricing supplement is not complete and may be changed." This indicates that final terms and pricing details may be adjusted before the final prospectus is issued. Investors are advised that a registration statement relating to these securities has been filed with the Securities and Exchange Commission under Registration Statement Nos. 333-293732 and 333-293732-02, and this preliminary pricing supplement is filed pursuant to Rule 424(b)(2).

The complete terms and conditions of the securities are set forth in the accompanying product supplement (No. EA-02-12 dated February 25, 2026), underlying supplement (No. 13 dated February 25, 2026), prospectus supplement, and prospectus (each dated February 25, 2026). The disclosure explicitly states that the product supplement contains important information about how the closing value of the underlying will be determined and about adjustments that may be made upon market disruption events, and that the underlying supplement contains information about the Russell 2000 Index. Prospective investors are directed to review all these documents in their entirety, as the preliminary pricing supplement does not repeat all important disclosures contained therein.

Risk Profile and Investment Suitability

The pricing supplement explicitly acknowledges that investing in these securities involves risks not associated with conventional debt securities. The disclosure notes the specific risks include the possibility of not receiving any payments if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, the potential for limited or no liquidity, and the possibility of receiving significantly less than the stated principal amount or nothing at maturity if the barrier is breached. These risk factors are elaborated in a "Summary Risk Factors" section beginning on page PS-5 of the full pricing supplement, which is not reproduced in the portion of the filing provided to the public.

The immediate share price impact of this securities offering on Citigroup's common stock was not clear from available public information in the filing. The pricing supplement addresses only the terms and economics of the debt securities themselves and does not reference any impact on Citigroup Inc.'s equity trading price or investor sentiment. Market participants assessing the significance of this offering may wish to monitor volume and direction of trading in Citigroup's common shares in the days following final pricing.