Citigroup Issues Buffered Equity Index Basket-Linked Notes With 17.5% Downside Protection

Structured Product Design With Multi-Index Exposure

The notes issued by Citigroup Global Markets Holdings Inc. represent a structured equity-linked security linked to the combined performance of five international stock indices. The basket weighting deliberately concentrates exposure toward European and Japanese markets, with the EURO STOXX 50 Index representing 40% of the basket and the TOPIX Index comprising 25%. The filing states that this unequal weighting means performances of the EURO STOXX 50, TOPIX, and FTSE 100 indices will have significantly larger impact on returns than the Swiss Market Index and S&P/ASX 200 Index, which together represent only 18% of the total basket weight.

The notes measure basket performance from the trade date through the determination date, which is expected to occur between 24 and 27 months after issuance. The initial basket level is set at 100.00, calculated using the initial index levels of each constituent index weighted according to their assigned percentages. The final basket level is determined by summing the products of each index's performance multiplied by its weighted value, creating a blended exposure mechanism that aggregates performance across all five markets simultaneously.

Upside Participation and Return Cap Mechanics

Investors in these notes receive 180% participation in positive basket returns, subject to a maximum settlement amount expected to range between $1,293.94 and $1,345.78 per $1,000 stated principal amount. This structure means that for every 1% the basket rises, investors capture 1.8% of that gain, but only until the capped maximum return is reached. The filing discloses that the maximum return at maturity is projected to range from 29.394% to 34.578%, depending on the final trade date pricing. This cap effectively limits the upside potential despite the 180% participation rate, creating a defined maximum outcome that compensates investors for accepting the risks of equity basket exposure.

The notes provide no interest payments and no participation in dividend income paid by stocks included in the underlying indices. Unlike conventional debt securities, there is no annual coupon; instead, all returns derive solely from appreciation of the basket indices. The trade-off for this eliminated income stream is the enhanced upside participation rate of 180%, which exceeds the one-to-one participation typical of many indexed notes.

Downside Buffer Protection and Loss Mechanics

A cornerstone feature of this offering is the 17.50% downside buffer, which provides investors with principal protection if the basket declines by 17.50% or less from the initial level. The filing specifies that if the final basket level falls to between 82.50% and 100.00% of the initial level, investors receive their full $1,000 stated principal amount with no loss. This buffer effectively absorbs moderate market declines across the diversified index basket, protecting investors from losses in range-bound or mildly negative market environments.

However, losses become magnified if the basket declines beyond the 17.50% buffer threshold. The filing discloses that for every 1% the basket falls below the 17.50% buffer, investors lose approximately 1.2121% of their stated principal amount. This means a basket decline of 20% from the initial level would result in a loss exceeding 3.6%, while a 30% decline would produce losses approaching 15.8% of principal. The notes could result in total loss of invested capital if the basket declines sufficiently, and the filing states "You could lose your entire investment in the notes."

Credit Risk and Issuer Guarantees

All payments on the notes are unsecured senior debt obligations issued by Citigroup Global Markets Holdings Inc., with full and unconditional guarantee from Citigroup Inc. The disclosure states that all payments remain subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., meaning investors bear the credit exposure to the Citigroup entity group. If Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, investors may not receive any amount owed under the notes, regardless of the basket's performance.

The notes are neither Federal Deposit Insurance Corporation insured nor guaranteed by any governmental agency, and they do not represent obligations of a bank deposit. Investors rely entirely on Citigroup's creditworthiness for repayment of both principal and any earned returns. This credit risk represents a material consideration distinct from the basket index performance risk, as solvency issues at the Citigroup entity level would affect payment regardless of favorable basket returns.

Limited Liquidity and Secondary Market Considerations

The disclosure indicates that the notes will not be listed on any securities exchange and are expected to have limited or no liquidity in secondary markets. Unlike publicly traded equity index funds or exchange-traded notes, these structured products lack a continuous trading market. Investors considering early exit from their positions may face difficulty finding willing buyers or may encounter significant bid-ask spreads that reflect the specialized nature and illiquidity of the instrument.

Citigroup Global Markets Inc., an affiliate of the issuer, acts as the underwriter and may engage in market-making activities for the notes following their initial sale. However, the filing provides no assurance regarding the availability, frequency, or pricing of any secondary market trading. The preliminary nature of the pricing supplement, marked "Subject to Completion," indicates that final terms including precise maximum settlement amounts and final underwriting arrangements remain subject to change before the offering closes.

Valuation and Issue Price Disclosures

The filing states that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the notes on the trade date will be between $978.50 and $998.50 per note, which will be less than the $1,000 issue price. This valuation estimate is based on proprietary pricing models used by Citigroup Global Markets Inc. and internal funding rates. The disclosure emphasizes that this estimated value is not an indication of actual profit to Citigroup Global Markets Inc. or other affiliates, nor does it represent a price at which Citigroup or any third party may be willing to buy the notes from investors at any time after issuance.

This valuation gap between the issue price and estimated value reflects the embedded cost of the structured product features, including the upside participation enhancement, downside buffer protection, and derivative hedging expenses. Investors purchasing at $1,000 would immediately experience a mark-to-market loss of $1.50 to $21.50 per note based on the disclosed estimated values, before any movement in the underlying indices occurs. This cost structure is inherent to the structured product design and should be understood as part of the overall investment economics.

Hedging Activity and Affiliate Profits

The filing discloses that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to this offering, even if the value of the notes declines. As the issuer's affiliate serving as underwriter, Citigroup Global Markets Inc. must hedge its own index exposure and interest rate risks arising from issuing these notes. The hedging transactions undertaken to offset this exposure may generate profits for the affiliate group independent of the notes' performance for investors. Additional details regarding the use of proceeds and hedging activities are contained in the accompanying prospectus.

This profit mechanism is separate from any underwriting discount charged on the offering. While the preliminary pricing supplement does not detail a specific underwriting discount amount, the affiliated hedging profits represent an additional compensation stream to Citigroup entities beyond standard underwriting fees. Investors should recognize that Citigroup's financial incentives may diverge from investor outcomes, particularly in scenarios involving rapid or volatile index movements that generate profitable hedging opportunities.

Basket Index Composition and Concentration Risks

The basket composition reflects significant geographic and market concentration toward developed European equities. The EURO STOXX 50 Index, representing 40% of the basket, tracks the 50 largest companies in the eurozone, while the FTSE 100 at 17% weight tracks leading British equities. Combined, European exposure represents 57% of the basket. The TOPIX Index at 25% weight concentrates an additional quarter of the basket in Japanese large-cap equities. The filing emphasizes that a decrease in the level of one or more basket indices may offset increases in others, creating potential for performance drag if certain regional markets decline while others appreciate.

The two smallest components, the Swiss Market Index at 11% and the S&P/ASX 200 at 7%, have minimal influence on overall basket returns given their lower weights. This composition means that investors bear currency risk exposure to the euro and British pound sterling in addition to equity market risk in these regions. Changes in foreign exchange rates could materially affect the basket level independent of equity index movements, adding a currency overlay to the pure equity index performance.

Important Risks and Contingent Events

The filing references important risk factors and contingent events contained in the accompanying product supplement that are not repeated in the pricing supplement itself. Certain market disruption events and other occurrences affecting the basket indices could alter payment calculations or postpone valuation dates. The accompanying product supplement describes these consequences in sections titled "Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date" and "Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index." These sections detail how events such as market closures, index suspensions, or calculation discontinuities would be handled.

Investors are advised to review the complete product supplement, underlying supplement, prospectus supplement, and base prospectus in conjunction with this pricing supplement before making investment decisions. The preliminary nature of this pricing supplement, marked "Subject to Completion. Dated July 20, 2026," indicates that additional information and final terms remain subject to change. The offering is filed pursuant to Rule 424(b)(2) under Registration Statement Nos. 333-293732 and 333-293732-02, and all materials are available for review through the SEC's EDGAR system or through Citigroup Global Markets Inc.