Citigroup Issues Autocallable Contingent Coupon Notes Linked to Three Global Market Indices

Structure and Payoff Mechanics of the Linked Securities

The securities issued by Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., represent a structured product combining debt characteristics with embedded equity derivatives. Investors purchasing these notes at the stated principal amount of $1,000 per security receive potential monthly income through contingent coupon payments, provided specific market conditions are met. The contingent coupon rate is set at a minimum of 6.00% per annum, translating to at least 0.50% of the stated principal amount paid on each contingent coupon payment date beginning in August 2026, subject to postponement if the date is not a business day.

The critical distinction of this offering lies in its dependence on the worst-performing of three major global equity indices. The EURO STOXX 50 Index, Nasdaq-100 Index, and Russell 2000 Index serve as the underlying benchmarks, with their initial values established on the pricing date of July 17, 2026. The worst-performing underlying on any given valuation date is determined by comparing underlying returns across all three benchmarks. Investors receive contingent coupon payments only when the worst-performing underlying closes at or above its coupon barrier value, which is set at 80% of its initial underlying value. This mechanism creates asymmetric risk exposure, as declines in any single index can eliminate coupon payments regardless of performance in the other two indices.

Automatic Early Redemption and Potential Autocall Dates

A distinctive feature of these securities is the automatic early redemption mechanism, which can trigger if market conditions favor the worst-performing underlying. Beginning January 19, 2027, and continuing on 31 specified potential autocall dates through June 18, 2029, the securities will automatically redeem if the worst-performing underlying closes at or above its initial underlying value on any of these dates. Upon automatic redemption, investors receive $1,000 plus the applicable contingent coupon payment on the immediately following contingent coupon payment date, effectively capping potential gains regardless of stronger market performance.

This early redemption feature creates a trade-off that investors must carefully evaluate. While automatic redemption at par provides downside protection if the worst-performing underlying recovers to its starting level, it simultaneously limits upside participation. The disclosure notes that if the worst-performing underlying performs favorably—which would otherwise be a positive development—the securities are likely to be automatically called for redemption prior to maturity, shortening the period during which investors can receive contingent coupon payments. The first potential autocall date occurs approximately six months after the issue date, meaning the securities could be redeemed early in the investment period if market conditions align. The final contingent coupon payment, if any, coincides with the maturity date of July 23, 2029.

Valuation Dates and Contingent Coupon Payment Schedule

The securities employ a comprehensive series of valuation dates spanning the entire three-year period from August 19, 2026, through July 18, 2029, occurring approximately monthly. These valuation dates determine whether contingent coupon payments will be made and whether automatic early redemption triggers. Each valuation date is subject to postponement if the scheduled date is not a scheduled trading day or if certain market disruption events occur. The disclosure specifies that contingent coupon payments are made on the 22nd day of each month beginning in August 2026, with each contingent coupon payment date also subject to postponement to the next succeeding business day if necessary.

The alignment between valuation dates and payment dates creates a predetermined schedule of approximately 38 potential valuation events during the securities' life. However, actual contingent coupon payments depend on the market performance of the worst-performing underlying relative to its coupon barrier at each valuation date. If the worst-performing underlying falls below 80% of its initial value on any valuation date, investors will not receive a contingent coupon payment on the immediately following contingent coupon payment date. This structure means that investors face monthly evaluation risk, with the potential for zero coupon payments in any given month if market conditions are unfavorable. The final valuation date on July 18, 2029, determines the final contingent coupon payment, with the maturity date occurring five days later on July 23, 2029.

Pricing, Underwriting Economics, and Distribution Terms

Citigroup Global Markets Holdings Inc. offered the securities at an issue price of $1,000 per security, with Citigroup Global Markets Inc. serving as the principal underwriter and earning a $5.00 underwriting fee per security. The disclosure indicates that the estimated value of the securities on the pricing date is expected to be at least $951.00 per security, approximately $49 or 4.9% below the issue price. This estimated value reflects Citigroup Global Markets Inc.'s proprietary pricing models and the company's internal funding rate and does not represent an indication of the actual secondary market price at which Citigroup Global Markets Inc. or other parties may be willing to purchase the securities from investors after issuance.

The distribution arrangement includes an additional fee of $1.00 per security paid by Citigroup Global Markets Inc. to electronic platform providers where dealers and custodians utilize such platforms for distribution. The disclosure emphasizes that beyond the underwriting fee, Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to the offering, even if the value of the securities declines after issuance. This potential for profit from hedging activities exists independently of the securities' market performance, creating an alignment where the underwriter and affiliated entities may benefit regardless of investor outcomes. The securities will not be listed on any securities exchange, potentially limiting liquidity and secondary market trading opportunities for investors seeking to exit positions prior to maturity or early redemption.

Coupon Barrier Mechanics and Income Contingency

The contingent coupon payment structure requires that the worst-performing underlying maintain a closing value at or above its coupon barrier value to trigger monthly income. The coupon barrier value for each underlying is set at 80% of its initial underlying value, calculated on the pricing date of July 17, 2026. This 20% cushion establishes a threshold that must be maintained for investors to receive their conditional income stream. Should the worst-performing underlying decline by 20% or more from its initial value, coupon payments cease entirely for that month and all subsequent months until the index recovers above the barrier level—if it ever does before the securities mature or are automatically called.

The worst-performing underlying determination mechanism creates a cascading risk scenario. Investors do not receive independent payments based on each index's performance; rather, they receive coupon payments only if the single worst-performing index remains above its barrier. If the Russell 2000 declines 20% while the EURO STOXX 50 and Nasdaq-100 rise, investors receive no coupon payments because the Russell 2000 is the worst performer. This structure exposes investors to downside risk across all three global markets while limiting upside participation through the automatic early redemption feature. The monthly evaluation of the worst-performing underlying adds timing risk, as market movements between valuation dates are not evaluated, and postponed valuation dates due to non-trading days or market disruption events could affect payment timing and amounts.

Credit Risk and Guarantee Structure

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the issuer, and Citigroup Inc., which provides a full and unconditional guarantee of all payments. The disclosure explicitly warns investors that they must be willing to 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 dual-entity credit structure means that the ultimate safety of investor returns depends on the creditworthiness and financial stability of both the immediate issuer and its parent company, Citigroup Inc., one of the largest financial institutions globally.

The unsecured nature of the debt securities means they are not backed by specific collateral or assets set aside for repayment. The guarantee from Citigroup Inc. adds a layer of additional security by making the parent company liable for all obligations, but the magnitude of potential default risk depends on the financial condition of both entities. Investors should recognize that these securities, while offering potential conditional income, carry counterparty risk typical of unsecured corporate debt issued by major financial institutions. The disclosure emphasizes that the securities are not bank deposits, not insured or guaranteed by the Federal Deposit Insurance Corporation, and not obligations or guarantees of any bank, clarifying the unsecured and subordinated nature of the investment.

Liquidity Constraints and Secondary Market Considerations

The disclosure explicitly states that the securities will not be listed on any securities exchange, a critical limitation for investors considering liquidity management. This means there is no formal, regulated marketplace where investors can readily sell these securities to other parties. While Citigroup Global Markets Inc. may make a secondary market in the securities, the company provides no commitment to do so, and any secondary trading would occur at prices determined through direct negotiation rather than public auction or exchange mechanisms. Investors purchasing these securities must be willing to accept the possibility of limited or no liquidity, which the disclosure identifies as a risk factor requiring investor acceptance.

The lack of exchange listing compounds the complexity of the investment structure. Investors who wish to exit positions before maturity or early automatic redemption face potential difficulty locating buyers and may receive prices significantly different from the estimated value or secondary market valuations calculated by Citigroup Global Markets Inc. The estimated value of at least $951.00 per security represents a calculated theoretical value, not a binding offer price at which the underwriter or its affiliates will purchase the securities. This illiquidity risk is particularly relevant for structured products with complex payoff mechanics, as secondary market trading volumes tend to be lower than for plain vanilla bonds or equity securities, and pricing information may be less transparent.

Index Composition and Global Market Exposure Diversification

The three underlying indices represent distinct equity markets and investment universes, providing geographic and economic diversification while simultaneously concentrating risk on the worst performer. The EURO STOXX 50 Index comprises large-capitalization stocks from the Eurozone and represents exposure to European equity markets and the economic conditions affecting Continental Europe. The Nasdaq-100 Index tracks 100 of the largest non-financial stocks listed on the NASDAQ exchange, emphasizing technology and growth-oriented companies in the U.S. market. The Russell 2000 Index represents U.S. small-capitalization stocks, offering exposure to smaller American companies and regional economic factors different from large-cap indices.

This three-index structure creates complex correlation dynamics that investors must evaluate. During periods when European equities strengthen but U.S. equities decline, or vice versa, the worst-performing index determines whether investors receive contingent coupons. The selection of the worst-performing underlying on any valuation date ensures that investors receive exposure to the equity market experiencing the most adverse performance at that specific time. This mechanism means that investors essentially maintain a long position in the index that is underperforming relative to the other two, which is an unconventional and potentially disadvantageous risk profile compared to traditional equity or bond investments. The interaction between these three geographically and economically distinct markets creates multi-factor market risk that investors should carefully model before committing capital.

Risk Factors and Investment Suitability Considerations

The disclosure identifies multiple risk factors specific to these securities that distinguish them from conventional debt investments. The performance of the securities depends solely on the worst-performing underlying, meaning that adverse movements in any one of the three indices negatively affect investor returns. Investors will not receive dividends paid on any of the underlying indices and will not participate in any appreciation of the underlyings beyond the automatic redemption feature, which caps gains at par value plus contingent coupons. The structured nature of the investment creates binary monthly outcomes: investors either receive their contingent coupon or receive nothing, with no intermediate returns or partial payment mechanisms.

The disclosure states that investing in these securities involves risks not associated with investments in conventional debt securities. These risks include the contingency of income payments, exposure to multi-asset equity market performance, automatic early redemption that caps gains, limited liquidity outside of direct dealer negotiation, and the full credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The document emphasizes that investors must be willing to accept these risks and understand the complex payoff structure before purchasing the securities. The preliminary nature of the pricing supplement, dated subject to completion as of July 16, 2026, indicates that certain terms including the exact contingent coupon rate and total offering amounts were to be determined at final pricing on July 17, 2026, with the issue date scheduled for July 22, 2026.

Registration and Regulatory Compliance Framework

The securities are registered under two SEC registration statements, numbers 333-293732 and 333-293732-02, filed pursuant to Rule 424(b)(2) under the Securities Act of 1933. This registration process involved filing a product supplement (Product Supplement No. EA-03-11), an underlying supplement (Underlying Supplement No. 13), a prospectus supplement, and a prospectus, all dated February 25, 2026. The preliminary pricing supplement issued on July 16, 2026, was subject to completion and completion of the registration statement process before the securities could be offered and sold. The SEC's involvement in the registration process does not constitute an approval or disapproval of the securities or a determination that the disclosure documents are truthful or complete, a distinction the document emphasizes with explicit reference to the criminal penalties for misrepresentation.

Investors are directed to review the accompanying product supplement, underlying supplement, prospectus supplement, and prospectus documents, which provide additional detailed information about the structure, risks, and terms of the securities beyond the pricing supplement. The compliance framework requires that investors receive and review these complete disclosure documents before making investment decisions. The preliminary nature of the pricing supplement as of the filing date indicates that final pricing terms and total offering amounts were pending determination at the time of filing, with the official pricing date scheduled for July 17, 2026, and the issue date for July 22, 2026. This staged disclosure process is standard for complex structured products and allows investors time to review comprehensive information before committing funds.