Citigroup Launches Autocallable Equity Linked Securities Linked to Three Stock Indices With August 2029 Maturity

Structure of the Autocallable Equity Linked Securities

The securities issued under this announcement are unsecured debt obligations of Citigroup Global Markets Holdings Inc., with full and unconditional guarantee from Citigroup Inc. The disclosure describes the securities as medium-term senior notes offering exposure to equity market performance while maintaining debt-like characteristics. Each security has a stated principal amount of $1,000 and will mature on August 2, 2029, unless earlier redeemed through the automatic early redemption feature. The securities will not be listed on any securities exchange, indicating limited secondary market liquidity for investors who may wish to sell before maturity.

The linkage structure ties the securities' performance to three major indices: the Nasdaq-100, the Russell 2000, and the S&P 500. Critically, the securities are linked to the worst-performing of these three indices, meaning that if any one of the three underlyings declines significantly, that index will determine the coupon payments and redemption value. This structure creates what the filing characterizes as negative exposure to adverse movements in any of the three indices while denying investors dividend participation or the ability to benefit from price appreciation in the underlying indices.

Contingent Coupon Payment Mechanics and Thresholds

The securities provide for contingent coupon payments on a quarterly schedule beginning October 29, 2026, with subsequent payment dates on January 29, 2027, April 29, 2027, July 29, 2027, October 29, 2027, January 31, 2028, May 1, 2028, July 31, 2028, October 30, 2028, January 29, 2029, April 30, 2029, and July 30, 2029. Payments are conditioned entirely on the performance of the worst-performing underlying relative to a coupon barrier value set at 70% of that index's initial closing value on the pricing date of July 29, 2026.

The filing discloses that each contingent coupon payment will equal at least 2.675% of the stated principal amount per quarter, equivalent to at least 10.70% per annum if all quarterly payments are received. However, investors receive these payments only if and only if the closing value of the worst-performing underlying on each valuation date is greater than or equal to its coupon barrier. If the worst-performing underlying closes below 70% of its initial value on any valuation date, holders will receive no contingent coupon payment on the following payment date. This design means that even modest declines in the worst-performing index can eliminate an entire quarter's coupon payment.

Automatic Early Redemption and the Autocall Feature

A distinctive feature of these securities is the automatic early redemption mechanism, also called the autocall feature. Beginning on the first potential autocall date and continuing on each subsequent valuation date, if the worst-performing underlying's closing value equals or exceeds its initial value as of the pricing date, each security will be automatically called for redemption. Upon such early redemption, holders will receive $1,000 plus the applicable contingent coupon payment on the immediately following contingent coupon payment date.

The disclosure emphasizes that this feature may significantly limit investor returns. The filing states: "If the worst performing underlying performs in a way that would otherwise be favorable, the securities are likely to be automatically called for redemption prior to maturity, cutting short your opportunity to receive contingent coupon payments." This means that if equity markets perform well and the worst-performing index recovers to its initial level, holders will not benefit from further appreciation and will have their investment redeemed early, even if investors initially expected to hold the securities to maturity or receive many more quarterly coupon payments.

Payment at Maturity and Downside Exposure

If the securities are not automatically redeemed and reach their maturity date on August 2, 2029, the payment received by holders depends entirely on how the worst-performing underlying has performed relative to its final barrier value, set at 70% of its initial value. The filing specifies two scenarios. If the worst-performing underlying's final value is greater than or equal to the final barrier of 70% of initial value, holders will receive $1,000 per security in full principal repayment, plus the final contingent coupon payment if applicable.

Conversely, if the worst-performing underlying closes below 70% of its initial value on the final valuation date of July 30, 2029, holders will receive significantly less than the stated principal amount. Specifically, they will receive $1,000 plus an amount equal to $1,000 multiplied by the underlying return of the worst-performing index. This means that if the worst-performing index has declined by 50% from its initial value, holders would receive only $500 at maturity. The disclosure warns that "you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity." This creates the possibility of near-total loss of principal if the worst-performing index experiences severe declines over the roughly three-year term.

Valuation and Estimated Fair Value Gap

The disclosure reveals a substantial gap between the issue price and Citigroup's internal estimate of the securities' fair value. The issue price is $1,000 per security, but Citigroup Global Markets Holdings Inc. indicates that the estimated value of the securities on the pricing date is at least $912.00 per security. This $88 per security discount—approximately 8.8% below the issue price—reflects the embedded cost of the equity exposure, the contingent coupon structure, and the underwriting and distribution fees.

The filing clarifies that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate and is not an indication of actual profit to Citigroup or other affiliates. Importantly, the disclosure states that the estimated value "is not 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 language signals limited secondary market liquidity and warns investors that they may have difficulty selling the securities at any price before maturity.

Underwriting Fees and Distribution Arrangements

Citigroup Global Markets Inc. is acting as principal underwriter for this offering and will receive an underwriting fee of up to $23.50 per security sold. The per-security proceeds to the issuer are $976.50, calculated as the $1,000 issue price minus the $23.50 underwriting fee. For investors purchasing the securities through fee-based advisory accounts, the issue price is $976.50 per security, reflecting the integration of advisory fees into the pricing structure.

The disclosure notes that in addition to the underwriting fee, Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to the offering, even if the value of the securities declines. This arrangement means that the issuer's financial interest may diverge from that of investors. Additionally, Citigroup will pay electronic platform providers up to $1.00 per security sold through those platforms where dealers or custodians implement or utilize such providers. The disclosure identifies this as part of the supplemental plan of distribution but does not provide complete details on total anticipated offering size or other distribution specifics.

Credit Risk and Guarantee Structure

All payments on the securities, including contingent coupons and principal, are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the direct issuer, and Citigroup Inc., the guarantor. While Citigroup Inc. provides a full and unconditional guarantee of all payments, the filing emphasizes that investors bear the default risk of both entities. The securities themselves 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 a bank. This distinction is critical because it means investors have no protection from government insurance schemes that would typically protect bank deposits.

The disclosure structures credit risk as a key component of the investment. If Citigroup Inc. or Citigroup Global Markets Holdings Inc. were to default on their obligations, investors could lose the entire value of their investment, regardless of how the underlying indices have performed. This credit risk exists in parallel with market risk tied to the worst-performing equity index, creating dual sources of potential loss.

Risk Factors and Investor Considerations

The filing presents several major risk factors for prospective investors. First, investors will receive downside exposure to the worst-performing of the three equity indices without receiving dividend payments on any underlying index or participating in any price appreciation. This asymmetric payoff structure means losses are fully realized while gains are either eliminated through early redemption or received only in the form of contingent coupons rather than principal appreciation.

Second, the securities have limited or no liquidity. The disclosure states that investors must accept "an investment that may have limited or no liquidity" and notes that the securities will not be listed on any securities exchange. This illiquidity could trap investors in a position they wish to exit, particularly if market conditions change unfavorably after purchase.

Third, the automatic early redemption feature creates what might be called "call risk" in fixed-income terminology. Investors who anticipate positive equity market performance may find their securities redeemed early at $1,000 plus one coupon payment, preventing them from capturing extended returns if market rallies continue. Conversely, investors who anticipate flat or negative performance face the full downside exposure of the worst-performing index without the benefit of the full three-year coupon payment term.

Regulatory Status and Documentation

The disclosure is presented as a preliminary pricing supplement filed pursuant to Securities and Exchange Commission Rule 424(b)(2), with this being Pricing Supplement No. 2026-USNCH33328. The securities are issued pursuant to registration statement numbers 333-293732 and 333-293732-02. The pricing supplement references an accompanying product supplement numbered EA-04-12 dated February 25, 2026, an underlying supplement numbered 13 dated February 25, 2026, and a prospectus supplement and prospectus each dated February 25, 2026. The filing carries a "subject to completion, dated July 27, 2026" designation, indicating that certain terms, including the exact stated principal amount total and pricing details, remain subject to finalization.

The SEC disclaimer states that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved the securities or determined that the pricing supplement and accompanying documents are truthful or complete. The filing warns that any representation to the contrary would constitute a criminal offense. Investors are directed to read the complete documentation, including the product supplement, underlying supplement, and prospectus, to fully understand the terms, conditions, and risks of the securities.