Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement (Form 424B2) on August 3, 2026, for autocallable contingent coupon equity-linked securities due August 29, 2031, linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement index (USD) ER.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc., a Wholly Owned Subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc.
  • Stated principal amount: $1,000 per security, with an Issue Date of August 31, 2026, and a Maturity date of August 29, 2031.
  • Contingent coupon rate: 1.15% of stated principal per monthly Valuation Period (equivalent to 13.80% per annum), payable only if the underlying closes at or above the coupon barrier value on the relevant valuation date.
  • Coupon barrier and buffer: The coupon barrier value is set at 80.00% of the initial underlying value; the final buffer value is 85.00% of the initial underlying value, with a buffer percentage of 15.00%.
  • Estimated value vs. issue price: The issuer currently expects the estimated value of the securities on the pricing date will be at least $850.00 per security, which is less than the $1,000.00 issue price.
  • Underwriting fee: CGMI will receive an underwriting fee of up to $45.00 per security, leaving minimum proceeds to the issuer of $955.00 per security.
  • Exchange listing: NYSE: C (Citigroup Inc., ticker C referenced in associated preferred disclosures); the securities themselves will not be listed on any securities exchange.

Structure, Underlying Index, and Key Risks of 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. and guaranteed by Citigroup Inc. The underlying index, the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, tracks exposure to the S&P 500 Futures Excess Return Index on a volatility-targeted, trend-adjusted basis, minus notional costs and a fixed decrement of 6% per annum. The filing states that this decrement, along with notional costs, "will be a significant drag on the underlying's performance."

The filing discloses 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 S&P 500 Futures Excess Return Index itself tracks futures contracts on the S&P 500 Index and "is likely to underperform the S&P 500 Index because of an implicit financing cost," according to the filing. Investors do not receive dividends from the underlying and do not participate in any appreciation of the underlying.

The contingent coupon mechanism includes a memory feature: if the underlying closes below the coupon barrier on one or more valuation dates but then meets or exceeds the barrier on a subsequent valuation date, the filing states that the coupon payment for that subsequent date will include all previously unpaid contingent coupons, without interest on unpaid amounts. However, coupons for valuation dates on which the barrier is never subsequently met will not be recovered. At maturity, if the final underlying value falls below the final buffer value of 85.00% of the initial underlying value, investors lose 1% of stated principal for every 1% by which Depreciation exceeds the 15.00% buffer percentage, according to the filing.

What Was Disclosed

This preliminary pricing supplement covers autocallable contingent coupon securities issued by Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., linked to a decrement-adjusted S&P 500 futures index, with a $1,000 issue price, an estimated value of at least $850.00, and a maturity of August 29, 2031.