Citigroup Global Markets Holdings Issues Callable Equity-Linked Notes Tied to Worst-Performing of Three Major Indexes, Offering at Least 13.15% Annualized Coupon

Structure and Issuer Background for the Callable Equity Linked Securities

The securities are issued by Citigroup Global Markets Holdings Inc., described in the disclosure as a wholly owned subsidiary of Citigroup Inc., one of the largest global financial institutions. As the issuer of Medium-Term Senior Notes, Series N, Citigroup Global Markets Holdings Inc. operates as a financing vehicle for structured products distributed through its affiliate, Citigroup Global Markets Inc. (CGMI). The structured notes market is a core component of Citigroup's capital markets business, allowing the firm to offer customized risk-return profiles to retail and institutional investors through registered securities.

All payments due under the securities are fully and unconditionally guaranteed by Citigroup Inc., meaning investors look to the parent company's credit standing as an additional layer of protection. However, the disclosure is explicit that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Investors are therefore exposed to the unsecured credit risk of both the issuer and Citigroup Inc. as guarantor, a material consideration distinct from conventional bank products.

Three-Index Worst-of Linkage and the Knock-In Barrier Mechanism

The securities are linked to the performance of three major U.S. equity benchmarks: the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index. The defining feature of the structure is its "worst-of" design, meaning that the investor's return at maturity is determined solely by whichever of the three indexes performs the worst relative to its initial value recorded on the pricing date. This feature significantly increases the probability of an adverse outcome compared with single-index structures, because any one of the three indexes can independently trigger losses.

The knock-in event is central to the loss mechanism. According to the filing, a knock-in event occurs if, on any scheduled trading day during the observation period — which runs from the day after the pricing date through and including the valuation date of July 13, 2027 — the closing value of any single underlying falls below 70% of its initial value. If a knock-in event is triggered and the worst performing underlying finishes below its initial value at maturity, investors receive $1,000 plus $1,000 multiplied by the underlying return of the worst performing index, which could be substantially less than $1,000 and could theoretically approach zero.

Monthly Coupon Payments and the At-Least 13.15% Annualized Rate

One of the most prominent features of the securities is the coupon structure. The disclosure states that on each coupon payment date, investors will receive a coupon equal to at least 1.0958% of the $1,000 stated principal amount per security, which the filing describes as equivalent to an annualized rate of at least approximately 13.15%. Coupon payment dates fall on the 16th day of each calendar month, beginning in August 2026 and running through maturity or earlier redemption. The exact coupon rate above this floor is to be determined on the pricing date, which is July 14, 2026.

The disclosure notes that if a coupon payment date falls on a non-business day, the payment will be made on the next succeeding business day without any additional accrued interest. This annualized rate is substantially higher than typical yields on Citigroup's conventional debt securities of comparable maturity, reflecting the elevated risks embedded in the structure, including worst-of index exposure, knock-in risk, and the potential for early redemption. Investors should understand that these elevated coupons are compensation for accepting those layered risks, not a guaranteed return in a traditional sense.

Call Redemption Rights and the January-to-June 2027 Window

The issuer retains the right to call the securities for mandatory redemption, in whole but not in part, on any potential redemption date. According to the filing, potential redemption dates are the coupon payment dates scheduled on the 16th day of each calendar month beginning in January 2027 and ending in June 2027. The issuer is required to provide not less than three business days' notice prior to exercising this call right. If the securities are called, investors receive $1,000 per security plus the coupon payment associated with that redemption date.

The call feature introduces reinvestment risk for investors. If market conditions are favorable — for example, if all three underlying indexes have risen well above their initial values — the issuer may choose to redeem the securities early, limiting investors' ability to continue collecting the above-market coupon. Conversely, if market conditions are unfavorable, the issuer is less likely to exercise the call, leaving investors exposed to potential principal loss at maturity. This asymmetry is a structural characteristic investors should consider carefully before committing capital to the securities.

Issue Price, Estimated Value, and the Gap Investors Should Understand

The securities are offered at an issue price of $1,000 per security, with an underwriting fee of $4.50 per security paid to CGMI, acting as principal underwriter and an affiliate of the issuer. This results in net proceeds to the issuer of $995.50 per security. The filing also discloses that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date to be at least $942.50 per security — a figure meaningfully below the $1,000 issue price.

The disclosure explains that this estimated value is derived from CGMI's proprietary pricing models and the issuer's internal funding rate, and it is explicitly stated to not be an indication of the price at which CGMI or any other party would be willing to repurchase the securities after issuance. The $57.50 per security gap between the minimum estimated value and the issue price reflects the embedded costs of distribution, hedging, and profit to CGMI and its affiliates. Additionally, the filing notes that CGMI will pay a fee of $1.00 per security to one or more electronic platform providers for sales made through participating selected dealers and custodians that utilize such platforms.

Payment at Maturity: Three Scenarios Investors Face

The filing clearly defines three distinct payment scenarios at maturity, assuming the securities have not been called prior to that date. In the first scenario, if the final underlying value of the worst performing index is greater than or equal to its initial underlying value, investors receive $1,000 per security in addition to the final coupon payment, representing full principal repayment. In the second scenario, if the worst performing underlying's final value is below its initial value but no knock-in event occurred during the observation period, investors still receive $1,000 per security plus the final coupon — providing a form of conditional capital protection.

The third and most adverse scenario applies when both conditions are met: the worst performing underlying finishes below its initial value at maturity and a knock-in event occurred at any point during the observation period. In this case, investors receive $1,000 plus $1,000 multiplied by the underlying return of the worst performing index. Because the underlying return is a negative percentage in this scenario, investors receive less than $1,000 and could receive nothing other than the final coupon payment. The filing makes explicit that the final underlying value for each index is its closing value on the valuation date of July 13, 2027.

Liquidity Limitations and the Absence of Exchange Listing

The disclosure states that the securities will not be listed on any securities exchange, which is a critical consideration for investors who may need to liquidate their position before maturity. Without exchange listing, any secondary market transactions would depend entirely on CGMI's willingness to provide a bid, and the filing cautions that investors must be willing to accept an investment that may have limited or no liquidity. There is no guarantee that a secondary market will develop or that, if it does, it will offer prices that reflect fair value.

This illiquidity risk is compounded by the gap between the issue price and the estimated value at issuance. Even if CGMI were to offer to repurchase securities shortly after issuance, the price offered would likely be lower than the $1,000 purchase price, reflecting the costs already embedded in the structure. Investors who require access to their capital within the approximately one-year term of the securities face meaningful risk of realizing a loss if they attempt to exit before maturity or a call date.

Registration, Documentation, and Accompanying Offering Materials

The preliminary pricing supplement was filed pursuant to Rule 424(b)(2) under Registration Statement Nos. 333-293732 and 333-293732-02. The filing is designated Pricing Supplement No. 2026-USNCH[ ], with the final supplement number to be completed at pricing. The securities form part of Citigroup Global Markets Holdings Inc.'s Medium-Term Senior Notes, Series N program. The disclosure references a suite of accompanying documents that investors are instructed to read in conjunction with the pricing supplement, including Product Supplement No. EA-02-12 dated February 25, 2026, Underlying Supplement No. 13 dated February 25, 2026, and the Prospectus Supplement and Prospectus each dated February 25, 2026.

The accompanying product supplement is described as containing important disclosures not repeated in the pricing supplement, including methodology for determining the closing value of each underlying index and provisions governing adjustments in the event of market disruption. The underlying supplement provides index-specific information for the Nasdaq-100, Russell 2000, and S&P 500. The disclosure notes this preliminary pricing supplement is subject to completion and change, and neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved the securities or passed judgment on the accuracy of the disclosure documents.

Risk Profile: Factors Distinguishing These Securities From Conventional Debt

The filing devotes significant attention to distinguishing the risk profile of these securities from conventional debt instruments. Investors are exposed to equity risk through the worst-of index linkage, credit risk through the unsecured obligations of Citigroup Global Markets Holdings Inc. and Citigroup Inc., and reinvestment risk through the issuer's call right. The disclosure explicitly states that investors will not receive dividends with respect to any underlying index and will not participate in any appreciation of any underlying — meaning the only upside is the coupon stream and return of principal under favorable scenarios.

The filing further cautions that the risk of loss at maturity depends solely on the performance of the worst performing of the three indexes, meaning adverse movements in just one of the three benchmarks — the Nasdaq-100, the Russell 2000, or the S&P 500 — can expose investors to the full downside scenario even if the other two indexes perform well. This worst-of feature is a particularly important risk driver that investors accustomed to single-index structured products may underestimate. The filing directs investors to the "Summary Risk Factors" section beginning on page PS-6 of the pricing supplement for a fuller treatment of these risks.