Citigroup Issues Autocallable Securities Linked to Three Major Stock Indices With Early Redemption Feature

Autocallable Structure and Early Redemption Mechanics

The securities disclosed in the filing are structured as autocallable instruments with multiple valuation dates occurring approximately every six months beginning August 6, 2027. On each valuation date prior to the final date, if the closing value of the worst-performing underlying equals or exceeds its initial value established on the pricing date of August 5, 2026, the securities will automatically redeem within three business days. Upon automatic redemption, investors receive the stated principal amount of $1,000 plus a premium that escalates with each successive valuation date.

The premium structure creates incentives for early redemption by offering investors increasing cash returns. The filing specifies that premiums range from 11.75% of stated principal on the first valuation date of August 6, 2027, increasing to 41.125% by February 5, 2030. However, the filing notes that once securities are automatically redeemed at any valuation date, investors cease to participate in the securities and forgo the opportunity to receive premiums applicable to any subsequent valuation dates. This structure means investors who experience early redemption lock in their returns at that point and face no further exposure to the underlying indices.

Performance Exposure Linked to Worst-Performing Index

A critical feature of these securities is that returns depend exclusively on the performance of the worst-performing underlying among the three indices. The filing states that investors will be subject to risks associated with each of the three underlyings—the Dow Jones Industrial Average, the Nasdaq-100 Index, and the Russell 2000 Index—and will be negatively affected by adverse movements in any one of them. This "worst of" structure means that even if two indices perform well, if the third declines significantly, that decline determines the security's outcome at maturity.

The initial underlying value for each index is its closing value on the pricing date of August 5, 2026, which the filing does not disclose. The final barrier value for each underlying is established at 70% of its initial underlying value. This barrier creates a critical threshold: if the worst performer closes below this 70% level on the final valuation date of August 5, 2031, investors face principal loss proportional to the decline. The filing explicitly warns that in this scenario, investors will lose 1% of stated principal for every 1% by which the final underlying value is less than the initial underlying value.

Principal Loss Scenarios and Downside Risk

The filing outlines three potential outcomes at maturity if the securities are not automatically redeemed prior to the final valuation date. If the worst-performing underlying's final value exceeds or equals its initial value, investors receive the stated principal amount plus the premium applicable to the final valuation date. If the final value falls below the initial value but remains at or above the 70% barrier, investors receive only the stated principal amount of $1,000 with no premium. However, if the final value drops below the 70% barrier, investors face direct principal loss.

Under the third scenario, investors receive the stated principal amount adjusted by the underlying return percentage of the worst performer. For example, if the worst performer declines 20% from its initial value, investors would receive only $800 per $1,000 invested. The filing emphasizes this risk by stating that investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity" if the worst performer falls below the barrier. This structure means investors have full downside exposure to the index that performs most poorly, without any protective floors except the 70% barrier.

Estimated Fair Value and Underwriting Economics

The filing discloses that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date to be at least $898.00 per security, which is substantially less than the $1,000 issue price. This $102 differential per security reflects the value of the embedded optionality in the securities. The filing clarifies that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate, and explicitly states that the estimated value is not an indication of the price at which any party may be willing to buy the securities after issuance.

The underwriting economics show that Citigroup Global Markets Inc. will receive an underwriting fee of $41.25 per security sold, with proceeds to the issuer of $958.75 per security. Additionally, the filing notes that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to the offering, even if the value of the securities declines. The filing states that electronic platform providers may receive fees of up to $1.50 per security where selected dealers and custodians utilize such platforms. These economics highlight that the issuer benefits from distributing the securities regardless of subsequent performance.

Guarantee by Citigroup Inc. and Credit Risk

All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of Citigroup Global Markets Holdings Inc., the issuer. The filing emphasizes that despite this guarantee, investors remain subject to the credit risk of both the issuer and the guarantor. The securities are described as unsecured debt obligations, meaning they are not backed by specific collateral or assets. The filing explicitly states that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc."

The filing further clarifies that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. This disclosure is critical because it distinguishes these structured products from traditional bank deposits, which receive FDIC protection up to established limits. The explicit statement that the securities are not obligations of a bank, despite being issued by a banking organization, underscores the distinction between these investment-grade corporate debt instruments and conventional retail banking products.

Valuation Dates and Timing Schedule

The securities have nine scheduled valuation dates spanning approximately four years from the issue date of August 10, 2026 to the final valuation date of August 5, 2031. These dates occur at roughly six-month intervals: August 6, 2027; February 7, 2028; August 7, 2028; February 5, 2029; August 6, 2029; February 5, 2030; August 5, 2030; February 5, 2031; and August 5, 2031. The filing notes that 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 extended series of valuation dates creates multiple opportunities for automatic redemption at escalating premiums. An investor who holds these securities through multiple valuation dates without experiencing automatic redemption faces cumulative exposure to whichever underlying performs most poorly over the entire period. The spacing of these dates means that the worst performer is determined on each valuation date independently, so an underlying that performs poorly early could be replaced as the worst performer by another index that performs worse later in the term.

Restrictions on Liquidity and Secondary Market Trading

The filing states that the securities will not be listed on any securities exchange, which significantly limits secondary market liquidity for investors who wish to exit their positions prior to maturity or automatic redemption. This restriction means investors cannot readily sell the securities on a public exchange at transparent, real-time market prices. The filing explicitly warns investors that they must be willing to accept an investment that may have limited or no liquidity.

The lack of exchange listing creates a material difference between these securities and conventional corporate bonds or index-linked products that trade on major exchanges. Investors who need to access their capital before maturity or automatic redemption would need to negotiate a sale directly with another investor or with Citigroup Global Markets Inc., potentially at unfavorable terms. The filing's emphasis on liquidity risk suggests that investors should regard this investment as appropriate only for those with longer-term investment horizons and no anticipated need for near-term access to their capital.

No Dividend Participation or Additional Appreciation

The filing explicitly states that investors will not receive dividends with respect to any of the three underlying indices and will not participate in any appreciation of any underlying beyond the structure of the security itself. This is a significant limitation compared to direct index investment. For example, if an investor held actual shares in companies comprising the Dow Jones Industrial Average or Nasdaq-100 Index, they would receive dividend payments on those holdings. In contrast, these securities provide return solely through price appreciation of the worst performer, with no dividend income component.

Additionally, the filing notes that the premium available at each valuation date may be significantly less than the appreciation of any underlying from the pricing date to that valuation date. This warning indicates that if an underlying appreciates substantially, the capped premium structure may provide returns that fall short of what direct index investment would deliver. For instance, if the worst-performing index appreciates 30% by the first valuation date in August 2027, investors would receive only 11.75% plus principal if the security automatically redeems at that time, capturing significantly less than the full 30% gain.

Registration and Regulatory Status

The filing is a preliminary pricing supplement submitted pursuant to Rule 424(b)(2) and relates to registration statements numbered 333-293732 and 333-293732-02. The document is dated July 28, 2026, and is marked as "subject to completion," indicating that certain terms, including the specific premium percentages and pricing details, may be finalized prior to the final pricing supplement. The filing includes references to accompanying product supplement, underlying supplement, prospectus supplement, and prospectus documents that investors are advised to review in conjunction with the pricing supplement.

The filing header contains standard SEC disclaimers stating that the preliminary pricing supplement and accompanying documents are not an offer to sell nor a solicitation to buy the securities in any state where such offer or sale is not permitted. The SEC disclaimer also notes that neither the SEC nor any state securities commission has approved or disapproved the securities or determined that the disclosure documents are truthful or complete. These standard cautionary statements underscore that the offering remains preliminary and subject to completion.