Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement (Form 424B2) on August 4, 2026, for Autocallable Contingent Coupon Equity Linked Securities linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, due September 5, 2031, and guaranteed by Citigroup Inc. (NYSE: C).

Key Highlights

  • Stated principal amount: $1,000 per security, with a pricing date of August 31, 2026, and an issue date of September 3, 2026.
  • Contingent coupon rate: 1.5292% of stated principal amount per valuation period, equivalent to approximately 18.35% per annum, paid only if the underlying closes at or above the coupon barrier value.
  • Coupon barrier: 75.00% of the initial underlying value; final barrier (principal protection threshold) set at 60.00% of the initial underlying value.
  • Estimated value at pricing: At least $878.00 per security, less than the $1,000.00 issue price, according to CGMI's proprietary pricing models.
  • Underwriting fee: Up to $10.00 per security, with proceeds to issuer of $990.00 per security assuming the maximum fee.
  • Maturity: September 5, 2031, unless automatically redeemed earlier; securities will not be listed on any securities exchange.
  • Underlying index drag: The filing discloses a 6% per annum decrement plus notional costs applied to the underlying, which the filing states "will be a significant drag on the underlying's performance."

Structure, Payoff Terms, and Key Risks for the Citigroup Autocallable Notes

According to the filing, the securities are unsecured Medium-Term Senior Notes, Series N, issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., and fully and unconditionally guaranteed by Citigroup Inc. The underlying index tracks exposure to the S&P 500 Futures Excess Return Index on a volatility-targeted, trend-adjusted basis, less notional costs and a 6% per annum decrement. The filing states that the S&P 500 Futures Excess Return Index "is likely to underperform the S&P 500 Index because of an implicit financing cost," and that the underlying "is highly risky because it may reflect highly leveraged exposure to any decline in the S&P 500 Futures Excess Return Index."

The filing describes a memory coupon feature: if the underlying closes below the coupon barrier on one or more valuation dates but recovers to at or above the coupon barrier on a later valuation date, that later payment will include all previously unpaid contingent coupons, without interest on amounts previously unpaid. However, if the underlying remains below the coupon barrier through the final valuation date, those unpaid coupons are forfeited entirely. There are approximately 60 scheduled valuation dates between September 30, 2026, and September 2, 2031, with contingent coupon payment dates set three business days after each.

At maturity, if the securities have not been automatically redeemed and the final underlying value is below the final barrier of 60.00% of the initial underlying value, investors receive $1,000 plus ($1,000 multiplied by the underlying return), which the filing notes could be "significantly less than the stated principal amount" and "possibly nothing." The filing also discloses 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 CGMI will pay up to $2.00 per security to certain electronic platform providers.

What Was Disclosed

This preliminary pricing supplement covers autocallable, contingent-coupon notes linked to a volatility-targeted, decrement-bearing S&P 500 futures index, with an estimated value below the issue price, a coupon barrier at 75% of initial value, and full principal at risk below a 60% final barrier.