Citigroup Issues Autocallable Equity-Linked Securities Linked to Dow Jones and S&P 500 Performance

Contingent Coupon Structure and Payment Mechanics

The securities will pay a contingent coupon equal to 2.0625% of the stated principal amount on each contingent coupon payment date, provided that the closing value of the worst-performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value of 70% of the initial underlying value. The disclosure states that if all contingent coupon payments are received, the yield would generally be higher than conventional Citigroup debt securities of the same maturity. However, the filing emphasizes that investors may receive lower yields than comparable conventional debt if one or more contingent coupon payments are missed.

The contingent coupon payment dates are scheduled for the third business day following each of 13 valuation dates, with the final payment coinciding with the maturity date of August 17, 2029. The valuation dates span from November 16, 2026, through August 14, 2029, each subject to postponement if the scheduled date is not a trading day or if market disruption events occur. If the closing value of the worst-performing underlying falls below its coupon barrier on any valuation date, investors will receive no coupon payment on the following payment date, creating a binary outcome structure where the threshold must be met for payment to occur.

Principal Repayment Terms and Downside Risk Exposure

At maturity, if the securities have not been automatically redeemed prior to that date, investors will receive the full stated principal amount of $1,000 per security if the final underlying value of the worst-performing underlying is greater than or equal to its final barrier value of 70% of the initial underlying value. However, if the worst-performing underlying closes below this 70% barrier on the final valuation date of August 14, 2029, investors will receive $1,000 plus the underlying return of the worst-performing underlying multiplied by $1,000, potentially resulting in significantly less than the stated principal amount.

The disclosure explicitly warns that under adverse market conditions, investors could receive substantially less than $1,000 per security at maturity, and potentially nothing. Importantly, the filing specifies that if the final underlying value falls below the final barrier value, investors will not receive any contingent coupon payment at maturity, meaning losses compound as investors lose both principal recovery and the final coupon payment. This structure creates significant downside exposure tied solely to the worst-performing of the two underlyings, meaning that even if one index performs well, the security's outcome is determined by the weaker performer.

Autocall Feature and Early Redemption Mechanics

The securities include an automatic early redemption feature that significantly impacts investor returns. If, on any potential autocall date, the closing value of the worst-performing underlying is greater than or equal to its initial underlying value, the securities will automatically be called for redemption and redeemed on the immediately following contingent coupon payment date for $1,000 per security plus the related contingent coupon payment. The disclosure warns that this autocall feature may severely limit investor potential returns by cutting short the opportunity to receive multiple contingent coupon payments if either underlying rallies substantially.

The filing notes that the securities may be automatically called for redemption as early as the first potential autocall date, though the preliminary pricing supplement does not specify the exact dates when autocall evaluations occur. The disclosure states that if the worst-performing underlying performs in a way that would otherwise be favorable, triggering an autocall, investors' exposure to continued upside participation will be eliminated. This creates a risk asymmetry where favorable price movements in the indices result in early termination with a fixed return, while unfavorable movements allow investors to suffer full downside exposure through maturity.

Underlying Index Selection and Worst-Performer Mechanism

The securities are linked to the performance of two underlyings: the Dow Jones Industrial Average and the S&P 500 Index. The filing emphasizes repeatedly that all payments depend solely on the performance of the worst-performing of these two indices. The initial underlying value for each index is defined as its closing value on the pricing date of August 14, 2026. Both the coupon barrier value and final barrier value are set at 70% of each respective initial underlying value, creating a uniform threshold structure for determining coupon eligibility and principal repayment across both indices.

The disclosure states that investors will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in any one of the underlyings. This means that even if one index performs strongly, weakness in the other index determines the security's coupon and repayment outcome. Notably, the filing specifies that although investors have downside exposure to the worst-performing underlying, they will not receive dividends with respect to any underlying or participate in any appreciation of any underlying, creating a one-directional risk structure that captures losses but forfeits gains.

Issue Price, Underwriting Fees, and Valuation Disclosure

The securities are being offered at an issue price of $1,000 per security. Citigroup Global Markets Inc., an affiliate of the issuer, is acting as the principal underwriter. The filing discloses that CGMI will receive an underwriting fee of up to $7.50 per security, with proceeds to the issuer of $992.50 per security. From the underwriting fee, CGMI will pay selected non-affiliated dealers a variable selling concession of up to $7.50 per security and a structuring fee of up to $2.50 per security. Additionally, CGMI will pay electronic platform providers a fee for securities sold through such platforms.

The disclosure includes a critical valuation warning: Citigroup Global Markets Holdings Inc. currently expects that the estimated value of the securities on the pricing date will be at least $942.00 per security, which is $58.00 less than the $1,000 issue price. The filing explicitly states that this estimated value is based on CGMI's proprietary pricing models and internal funding rate, and is not an indication of actual profit to CGMI or other affiliates, nor is it an indication of any price at which CGMI or other parties may be willing to purchase the securities from investors after issuance. This disclosure suggests a built-in valuation discount at inception, indicating that the structure heavily benefits the issuer and underwriter relative to the investor's immediate position.

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., the guarantor. The filing states that all payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., meaning investors have recourse to the parent company if the subsidiary defaults. However, the preliminary pricing supplement emphasizes that if Citigroup Inc. defaults on its guarantees, investors will not receive any payments due under the securities, creating a concentration of credit risk within a single corporate entity and its subsidiary.

The filing also 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, nor are they obligations of, or guaranteed by, a bank. This distinction is material because it removes any perception of safety associated with FDIC protection or banking institution backing, leaving investors entirely dependent on Citigroup's creditworthiness for recovery of their investment.

Liquidity Constraints and Secondary Market Considerations

The disclosure states that the securities will not be listed on any securities exchange, creating significant liquidity constraints for investors. The preliminary pricing supplement warns that investors must be willing to accept an investment that may have limited or no liquidity, indicating that secondary market trading for these securities may be difficult or unavailable. The estimated value disclosed by CGMI of $942.00 per security is expressly not an indication of the price at which CGMI or any other person may be willing to buy the securities from investors at any time after issuance, suggesting that no active secondary market may develop for this offering.

This lack of liquidity creates a practical lock-in for investors who may wish to exit their position prior to maturity. The combination of no exchange listing and no indication of CGMI's willingness to repurchase the securities in the secondary market means investors must be prepared to hold these securities for the full three-year period or accept potential losses if they attempt to exit early through over-the-counter dealer markets where liquidity is uncertain.

Risk Factors and Investment Suitability Considerations

The filing identifies multiple substantial risk factors specific to this security structure. The preliminary pricing supplement states that investing in the securities involves risks not associated with conventional debt securities, including the risks that actual yield may be lower than conventional debt due to missed coupon payments, that the value received at maturity may be significantly less than the stated principal amount or zero, and that the securities may be automatically called for redemption prior to maturity. Each of these outcomes depends solely on the worst-performing underlying, creating a singular point of failure for investor returns.

The disclosure emphasizes that the automatic early redemption feature may significantly limit investor potential returns, and that if the worst-performing underlying performs favorably, the securities are likely to be called for redemption, cutting short opportunities to receive contingent coupon payments. The filing also notes that investors must accept risks of limited or no liquidity and the risk that Citigroup may default on payment obligations. These combined factors create a security structure with asymmetric risk-reward characteristics: limited upside if indices rally, substantial downside if they decline, and loss of diversification benefits by construction due to the worst-performer mechanism.

Regulatory Filing Status and Completion Date

The preliminary pricing supplement was dated July 29, 2026, and is subject to completion. The filing notes that the information in the preliminary pricing supplement is not complete and may be changed. A registration statement relating to these securities has been filed with the Securities and Exchange Commission under registration statement numbers 333-293732 and 333-293732-02. The securities are being filed pursuant to Rule 424(b)(2), indicating this is a delayed or continuous offering under a shelf registration statement.

The preliminary pricing supplement references accompanying product supplement number EA-04-12 dated February 25, 2026, underlying supplement number 13 dated February 25, 2026, and prospectus supplement and prospectus each dated February 25, 2026. The filing states that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that the pricing supplement and accompanying documents are truthful or complete, with any contrary representation constituting a criminal offense.