Citigroup Global Markets Holdings Prices Autocallable Equity-Linked Notes Tied to Nasdaq-100 Futures Decrement Index, Maturing July 2033

Structure of Citigroup's Newly Disclosed Contingent Coupon Securities

The preliminary pricing supplement describes a structured product issued by Citigroup Global Markets Holdings Inc. as unsecured debt under its Medium-Term Senior Notes, Series N program. The securities are designed to offer periodic contingent coupon payments that, if all are paid, would produce a yield generally higher than that of conventional debt securities of the same maturity. In exchange for this elevated potential yield, investors accept several risks, including the possible loss of most or all of their principal investment.

The securities are linked to the Nasdaq-100 Futures 35% Edge Volatility 6% Decrement™ Index ER, which is published by Citigroup Global Markets Limited, an affiliate of the issuer. The underlying index tracks futures contracts on the Nasdaq-100 Index® and includes an annual decrement of 6%, which the filing identifies as a significant drag on performance. The filing also notes that the underlying futures index is likely to underperform the Nasdaq-100 Index® itself because of an implicit financing cost built into the futures contract structure.

Pricing Date, Issue Date, and Maturity Timeline

According to the disclosure, the pricing date for these securities is July 17, 2026, and the issue date is July 22, 2026. Unless earlier redeemed through the autocall mechanism, the securities will mature on July 27, 2033, representing a maximum investment term of approximately seven years. The filing specifies that valuation dates occur on the 22nd day of each month, beginning in August 2026 and ending in July 2033, with the final valuation date set as July 22, 2033.

Each contingent coupon payment date falls on the third business day after each valuation date. The final contingent coupon payment date, if applicable, coincides with the maturity date of July 27, 2033. The filing notes that valuation dates are subject to postponement if a given date is not a scheduled trading day or if certain market disruption events occur, which could affect the timing of coupon payments.

Contingent Coupon Mechanics and the 70% Coupon Barrier

The filing discloses that the securities will pay a contingent coupon equal to at least 1.5625% of the stated principal amount on each contingent coupon payment date, equivalent to a contingent coupon rate of at least 18.75% per annum. However, this coupon is conditional: investors only receive the payment if the closing value of the underlying index on the immediately preceding valuation date is greater than or equal to the coupon barrier value, which is set at 70% of the initial underlying value.

If the underlying index closes below the coupon barrier on any given valuation date, investors will receive no contingent coupon payment on the following payment date. The filing emphasizes that this coupon mechanism introduces meaningful income uncertainty: in a sustained period of index underperformance, investors could receive few or no coupon payments across the entire seven-year term, while still bearing downside exposure to the underlying at maturity. The exact coupon rate and specific barrier levels are to be finalized on the pricing date of July 17, 2026.

Autocall Feature and Early Redemption Conditions

The securities include an automatic early redemption feature, commonly referred to as an autocall. The filing states that if, on any trading day during the autocall period, the closing value of the underlying index is greater than or equal to the initial underlying value, each security will be automatically redeemed on the third business day following that trading day. In that scenario, investors receive the $1,000 stated principal amount in cash but no additional return beyond any contingent coupons already paid.

The filing explicitly warns that the autocall feature may significantly limit the total return available to investors. If the underlying performs in a manner that would otherwise be favorable over the full term, the securities are likely to be automatically redeemed early, cutting short the opportunity to accumulate further contingent coupon payments. The announcement notes that automatic early redemption could occur as early as the first trading day of the autocall period. Importantly, if the autocall is triggered on a day that is not a valuation date, investors will not receive any contingent coupon for the period between the last coupon payment date and the early redemption date.

Payment at Maturity and the 60% Final Barrier Value

If the securities are not automatically redeemed prior to the maturity date of July 27, 2033, the payment received at maturity depends on the final underlying value relative to the final barrier value. The filing discloses that the final barrier value is set at 60% of the initial underlying value. If the final underlying value is greater than or equal to the final barrier value, investors receive the full $1,000 stated principal amount per security, along with the final contingent coupon payment if the coupon barrier condition is also met.

However, if the final underlying value is less than the final barrier value, investors receive $1,000 plus $1,000 multiplied by the underlying return — a formula that translates to a direct, one-for-one loss exposure to declines in the underlying index beyond the 60% threshold. The filing is explicit that under this scenario, investors could receive significantly less than their stated principal, and possibly nothing. The filing also clarifies that investors will not receive any final contingent coupon payment if the final underlying value is below the final barrier value.

Estimated Value Versus Issue Price: A Key Disclosure for Investors

One of the more notable disclosures in the filing relates to the estimated value of the securities relative to their issue price. The filing states that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date to be at least $878.00 per security. This compares to an issue price of $1,000 per security, implying an upfront difference of at least $122.00 per security between what investors pay and the issuer's estimate of fair value.

The filing explains that this estimated value is based on CGMI's proprietary pricing models and its internal funding rate. The announcement clarifies that this figure is not an indication of actual profit to CGMI or its affiliates, nor is it an indication of the price at which CGMI or any other person may be willing to purchase the securities from investors after issuance. The filing notes that investors should be aware of this valuation gap when considering the securities, as it reflects embedded costs including the underwriting fee of $20.00 per security, which produces proceeds to the issuer of $980.00 per security.

Underwriting Arrangements and Distribution Fees

The filing identifies Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, as the underwriter for this offering, acting as principal. The underwriting fee is $20.00 per security, with proceeds to the issuer of $980.00 per security. The total issue price, total underwriting fee, and total proceeds figures were not finalized at the time of the preliminary filing, as the total number of securities to be sold had not yet been determined.

The filing also discloses that CGMI will pay to one or more electronic platform providers a fee of $1.50 for each security sold where related selected dealers and/or custodians implement or utilize such providers. Additionally, the announcement states that CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines after issuance. This hedging-related profit potential is a separate consideration from the stated underwriting fee and is disclosed as an additional potential conflict of interest.

Credit Risk, Guarantee Structure, and FDIC Exclusion

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. as issuer and Citigroup Inc. as guarantor. The filing states that payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc. However, the announcement is clear that if both entities were to default on their obligations, investors may not receive any payments due under the securities, regardless of how the underlying index performs.

The filing explicitly states that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. They are also described as not being obligations of, or guaranteed by, a bank. This credit risk disclosure is particularly relevant given the seven-year term of the securities and the potential for financial conditions to change materially over that period. Investors bear full unsecured creditor exposure to both entities throughout the life of the notes.

Underlying Index Risks and the 6% Annual Decrement

The filing devotes significant attention to the risks associated with the underlying index, the Nasdaq-100 Futures 35% Edge Volatility 6% Decrement™ Index ER. The disclosure notes that the underlying is described as highly risky because it may reflect highly leveraged exposure to any decline in the Citi Equity US Tech Large Cap QX Market Tracker Series 4 Index, referred to in the filing as the "underlying futures index." This futures index tracks futures contracts on the Nasdaq-100 Index® and is stated to be likely to underperform the Nasdaq-100 Index® itself due to an implicit financing cost embedded in futures pricing.

The 6% per annum decrement applied to the underlying index is highlighted in the filing as a significant drag on performance. This decrement is applied regardless of the index's actual performance and reduces the index level continuously over time. As a result, the filing suggests that the underlying index faces a structural headwind that could affect both the coupon barrier and final barrier conditions over the seven-year term. Both the underlying index and the underlying futures index are published by Citigroup Global Markets Limited, an affiliate of the issuer, which the filing identifies as a potential conflict of interest that investors should consider.

Liquidity Limitations and No Exchange Listing

The filing discloses that the securities will not be listed on any securities exchange, meaning there is no established secondary market where investors can readily buy or sell them after the issue date. This absence of listing creates a significant liquidity risk: investors who wish to exit their position before maturity or before an autocall event may find it difficult or impossible to do so at a fair price, if at all. The filing states that investors must be willing to accept an investment that may have limited or no liquidity.

The filing also clarifies that this preliminary pricing supplement and the accompanying product supplement, index supplement, prospectus supplement, and prospectus do not constitute an offer to sell or a solicitation to buy in any jurisdiction where such activities are not permitted. The registration statement relating to these securities has been filed with the Securities and Exchange Commission, and the terms are subject to change before the final pricing supplement is published on or around July 17, 2026. Investors are directed to review the full suite of offering documents, including Product Supplement No. EA-04-12, Index Supplement No. IS-16-03, and the Prospectus Supplement and Prospectus, each dated February 25, 2026.