Citigroup Global Markets Issues Autocallable S&P 500 Linked Notes Due 2028

Structure and Automatic Early Redemption Mechanics

The securities are unsecured debt obligations issued by Citigroup Global Markets Holdings Inc. and fully guaranteed by Citigroup Inc., structured with unique provisions that distinguish them from conventional debt instruments. Unlike traditional bonds, these securities do not pay regular interest and do not guarantee repayment of principal at maturity. Instead, returns depend entirely on the performance of the S&P 500 Index, measured from the strike date of July 17, 2026 through valuation dates ending on the final maturity date of July 25, 2028.

The automatic early redemption feature represents a core component of the offering's appeal. If, on the first valuation date of July 27, 2027, the S&P 500 closes at or above its initial level of 7,457.69, the securities will be automatically redeemed on the third business day following that date for $1,000 plus a 10.50% premium. This mechanism allows investors to receive their principal plus the specified premium without awaiting the final maturity date. However, the disclosure notes that this premium may be significantly less than the actual appreciation experienced by the underlying index from the pricing date to the first valuation date, representing a trade-off inherent in the structured product design.

Downside Buffer Protection and Loss Scenarios

The offering incorporates a 20% downside buffer mechanism designed to provide loss mitigation if the S&P 500 declines. The final buffer value was established at 5,966.152, representing 80% of the initial underlying value. This buffer creates three distinct payout scenarios at maturity if the securities are not automatically redeemed prior to that date. If the final underlying value exceeds the initial underlying value, investors receive $1,000 plus a return amount calculated using a 100% upside participation rate on the underlying return.

If the index finishes below its initial level but remains at or above the buffer level, investors receive exactly $1,000 with no additional return. However, if the S&P 500 falls below the 5,966.152 buffer level—representing a decline exceeding 20% from the strike date level—investors begin to experience losses. The disclosure states that investors will lose 1% of stated principal for every 1% by which that depreciation exceeds the 20% buffer percentage. This structure means that shareholders bear full downside exposure beyond the 20% buffer, though they receive no dividend income with respect to the underlying index.

Valuation and Pricing Parameters

The disclosure establishes specific dates and values governing the securities' valuation framework. The strike date was set at July 17, 2026, with pricing occurring on July 20, 2026, and issuance scheduled for July 23, 2026. Two valuation dates are specified: July 27, 2027 for potential automatic early redemption and July 20, 2028 as the final valuation date. Both dates are subject to postponement if they fall on non-trading days or if market disruption events occur, though specific details regarding market disruption events are contained in the accompanying product supplement referenced but not fully reproduced in this disclosure.

The initial underlying value of 7,457.69 was established as the S&P 500 closing value on the strike date. This baseline figure anchors all subsequent performance measurements and comparisons. The upside participation rate was set at 100%, meaning investors participate dollar-for-dollar in index appreciation should the securities reach maturity without early redemption. Notably, Citigroup Global Markets Inc. serves as the underwriter, acting in a principal capacity and receiving a $1 per security underwriting fee on a stated principal amount of $1,000 per security.

Estimated Value and Pricing Discount

The disclosure indicates that Citigroup Global Markets Holdings Inc. estimated the value of the securities on the pricing date at approximately $945.50 per security, representing a discount of approximately $54.50 from the $1,000 issue price. This valuation is based on Citigroup's proprietary pricing models and internal funding rates. The company explicitly states that this estimated value should not be construed as an indication of actual profit to Citigroup Global Markets Inc. or other affiliates, nor as an indication of any price at which the underwriter or other parties may be willing to purchase the securities from investors in secondary market transactions after issuance.

This disclosure regarding estimated value addresses a fundamental consideration for investors contemplating participation in the offering. The gap between issue price and estimated secondary market value reflects the structural costs, risks, and embedded costs associated with autocallable products. The company notes that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to the offering regardless of whether the securities' value increases or decreases subsequent to issuance. This hedging profit opportunity represents another factor influencing the pricing dynamics of the structured product.

Credit Risk and Guarantee Structure

All payments due on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. While Citigroup Inc. provides a full and unconditional guarantee of all obligations, the guarantee itself remains subject to Citigroup Inc.'s ability to fulfill its obligations. The securities are described as unsecured debt, meaning they are not backed by specific collateral or secured by particular assets. This structure places investors in the position of general creditors to both the issuer and guarantor, subordinated to secured creditors and preferred claimants in any insolvency scenario.

The disclosure emphasizes that investors must accept the risk of not receiving any payments due under the securities if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations. This credit risk component represents a material consideration independent of the performance of the S&P 500 Index. Even if the index performs favorably and would otherwise generate positive returns, the securities would provide no recovery if both entities default. The product documentation notes that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency.

Liquidity Constraints and Market Characteristics

The disclosure explicitly notes that investors must be willing to accept an investment that may have limited or no liquidity. The securities will not be listed on any securities exchange, meaning there is no established public market for secondary trading. This structure contrasts sharply with conventional bonds and equities that trade actively on exchanges. For investors seeking to exit their positions prior to maturity or automatic early redemption, liquidity depends entirely on finding willing counterparties through over-the-counter channels, if such transactions are available at all.

The CUSIP identifier 17334C4F8 and ISIN US17334C4F83 are provided for identification and settlement purposes. The absence of exchange listing, combined with the structured nature of the securities and their dependence on counterparty credit, creates a relatively illiquid investment profile. Investors considering participation should carefully evaluate their liquidity needs and investment horizons, recognizing that redemption or sale prior to maturity may not be possible or may occur at unfavorable prices.

Terms and Conditions of the Offering

The securities are designated as Medium-Term Senior Notes, Series N under Pricing Supplement No. 2026-USNCH33197. They were filed pursuant to Rule 424(b)(2) under the Securities Act of 1933, with registration statements numbered 333-293732 and 333-293732-02. The offering documents reference related supplements, 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 disclosure notes that the pricing supplement should be read together with these accompanying documents, as they contain important information not repeated in the pricing supplement itself. The product supplement provides detailed information regarding how the closing value of the underlying index will be determined and describes adjustments that may be made upon market disruption events. The underlying supplement contains specific information about the S&P 500 Index. Investors are instructed to review the complete documentation before making investment decisions, as terms, definitions, and important risk disclosures are distributed across multiple documents rather than consolidated in the pricing supplement alone.

Risk Considerations and Investor Suitability

The offering discloses that investing in these securities involves risks not associated with investments in conventional debt securities. The structured product combines equity market risk, credit risk, liquidity risk, and redemption risk in ways that differ materially from traditional fixed-income or equity investments. The automatic early redemption feature, while offering the potential for premium returns if triggered, eliminates the opportunity for investors to participate in any index appreciation beyond the first valuation date if redemption occurs.

Conversely, if automatic redemption does not occur and the index experiences significant appreciation beyond the initial level through final maturity, investors benefit from full 100% participation in that appreciation. However, if the index declines, investors experience downside losses exceeding the 20% buffer level. This asymmetric risk profile—where upside participation is capped at early redemption premiums or depends on maturity scenarios, while downside exposure is open-ended beyond the buffer—creates a complex risk-return dynamic requiring careful evaluation by sophisticated investors.

Distribution and Marketing Information

Citigroup Global Markets Inc. acts as the principal underwriter and distributor for the offering. Additional information regarding the distribution of securities is contained in the "Supplemental Plan of Distribution" section of the pricing supplement, though the full details of that section are not reproduced in the disclosure provided. The underwriting fee of $1 per security is disclosed, representing 0.1% of the $1,000 stated principal amount. Beyond this fee, Citigroup Global Markets Inc. and its affiliates expect to generate profit from hedging activity related to the offering.

The preliminary nature of this pricing supplement, as indicated by the "Subject to Completion, Dated July 20, 2026" notation, signals that final terms and pricing remain subject to completion. The document notes that the information contained is not complete and may be changed. The disclaimer further states that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved the securities or determined the truthfulness or completeness of the offering documents. The product is being offered in states where such offerings are permitted.

Regulatory Filing Status and Document References

The offering was filed pursuant to Rule 424(b)(2) under the Securities Act of 1933, which permits the use of a prospectus supplement for registered offerings. Registration statement numbers 333-293732 and 333-293732-02 provide the reference identifiers for the underlying registration statements filed with the Securities and Exchange Commission. The disclosure is preliminary and marked "Subject to Completion," reflecting the fact that certain terms, including pricing details and potentially some structural parameters, remain subject to finalization.

The SEC disclaimer states that any representation that the SEC or state securities commissions have approved or disapproved the securities, or determined that related documentation is truthful and complete, would constitute a criminal offense. This standard language underscores that regulatory filings and approvals represent matters of public record and legal compliance, not endorsements or recommendations. The offering documents expressly note that they should not be construed as offers to sell or solicitations to purchase in any jurisdiction where such offers or solicitations are prohibited by law.