Citigroup Issues Three-Year Contingent Coupon Securities Linked to Equity Index Performance

Product Structure and Underlying Index Selection

The securities offered by Citigroup Global Markets Holdings Inc. represent a complex structured product linking returns to three major equity indices: the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index. Investors' returns depend solely on the worst-performing underlying among these three indices, meaning downside exposure is determined by whichever index declines the most from its initial valuation level. This worst-of structure concentrates risk, as adverse movement in any single underlying will negatively impact the security's performance regardless of how the other two indices perform.

The stated principal amount for each security is $1,000, with an issue price of $1,000.00 per security and an underwriting fee of $6.00 per security, resulting in net proceeds to the issuer of $994.00 per security. Citigroup Global Markets Holdings Inc. disclosed that the estimated value of the securities on the pricing date of July 29, 2026, would be at least $940.00 per security, which represents a significant discount to the issue price and reflects the embedded cost of the contingent coupon structure and equity linkage. The company did not disclose the total aggregate offering size in the pricing supplement.

Contingent Coupon Payment Mechanics and Trigger Levels

Investors in these securities receive contingent coupon payments equal to at least 0.8333% 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. The coupon barrier value is defined as 61.50% of each underlying's initial underlying value, established on the pricing date. This means investors must see the worst-performing index maintain at least 61.50% of its initial level to receive the scheduled coupon payment; any decline below this threshold results in forfeiture of the contingent coupon for that period.

The pricing supplement establishes 38 valuation dates commencing on August 31, 2026, and concluding on July 30, 2029, with monthly intervals generally observed throughout the three-year holding period. If the worst-performing underlying falls below its coupon barrier value on a given valuation date, no contingent coupon payment is made on the following contingent coupon payment date. However, if the underlying subsequently recovers above the coupon barrier value, previously unpaid contingent coupon amounts are paid as a lump sum without accrued interest. If the worst-performing underlying remains below the coupon barrier value through the final valuation date, all unpaid contingent coupon payments are forfeited permanently.

Maturity Payoff Structure and Principal Protection Risks

At maturity on August 2, 2029, unless the securities are redeemed earlier by the issuer, investors receive either full principal recovery or a significantly reduced payment depending on the final underlying value of the worst-performing index. If the final underlying value on the final valuation date of July 30, 2029, is greater than or equal to the final barrier value (defined as 61.50% of the initial underlying value), investors receive the full stated principal amount of $1,000 per security. However, if the final underlying value falls below the final barrier value, investors receive $1,000 plus or minus the underlying return of the worst-performing index, which could result in recovery substantially less than principal, including total loss of principal.

The pricing supplement explicitly discloses that investors have no downside protection below the final barrier value and could receive significantly less than the stated principal amount, and possibly nothing, at maturity. Furthermore, if the securities are not redeemed prior to maturity and the final underlying value of the worst-performing underlying falls below the final barrier value, investors will not receive any final contingent coupon payment, including any previously unpaid contingent coupon amounts. This payoff structure creates asymmetric risk where investors enjoy upside participation only if the worst-performing index stays above 61.50% of its initial level, while accepting full downside exposure if any of the three indices declines more than 38.50% from inception.

Issuer Credit Risk and Guarantee Framework

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. This guarantee structure means that investors' recovery depends not only on the equity index performance but also on the credit quality and solvency of Citigroup Inc. throughout the three-year term. The disclosure emphasizes that all payments on the securities are subject to the credit risk of both the issuer and the guarantor, making these instruments subject to issuer default risk in addition to market risk.

Investors are explicitly notified that the securities are not bank deposits, are not insured or guaranteed by the Federal Deposit Insurance Corporation, are not obligations of a bank, and carry the full credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. In the event of either company's financial distress or insolvency, investors would have unsecured claims competing with other unsecured creditors, with no preference over equity holders or other obligations. The pricing supplement provides no disclosure regarding Citigroup's credit ratings, capital levels, or other specific credit metrics at the time of issuance.

Redemption Rights and Investor Liquidity Constraints

Citigroup Global Markets Holdings Inc. retains the unconditional right to call the securities in whole (but not in part) for mandatory redemption on any potential redemption date, with a requirement to provide not less than three business days' notice before redemption. The pricing supplement does not specify which dates qualify as potential redemption dates, creating uncertainty about when the issuer might exercise this right. This redemption feature allows the issuer to terminate the investment at any time, potentially cutting short a profitable coupon stream or forcing investors to reinvest at less favorable rates if market conditions have changed.

The pricing supplement explicitly discloses that investors must be willing to accept an investment that may have limited or no liquidity, as the securities will not be listed on any securities exchange. This illiquidity means investors cannot readily sell the securities in secondary markets at quoted prices or with tight spreads. The only pathway for investors to exit the investment is to hold until the issuer exercises its redemption right or until maturity on August 2, 2029, unless a private buyer can be found. Citigroup Global Markets Inc., acting as principal underwriter, makes no commitment to make a secondary market or to repurchase the securities at any price after issuance.

Valuation Discount and Embedded Cost Structure

The pricing supplement discloses that Citigroup Global Markets Holdings Inc. estimates the value of the securities on the pricing date of July 29, 2026, to be at least $940.00 per security, compared to the $1,000.00 issue price. This $60 per security valuation discount reflects the cost of the equity linkage, the contingent coupon feature, and the embedded volatility risk. The company explicitly stated that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and the issuer's internal funding rate, and is not an indication of actual profit to Citigroup Global Markets Inc. or other affiliates, nor is it binding guidance on secondary market prices.

Beyond the $6.00 per security underwriting fee paid upfront, Citigroup Global Markets Inc. will receive $1.00 per security paid by electronic platform providers for distribution through selected dealers and custodians. The prospectus cross-referenced in the pricing supplement notes that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to this offering, independent of whether the value of the securities appreciates or declines over time. This hedging profit potential creates an incentive structure where the underwriter benefits from investor losses, a dynamic that investors should consider when evaluating the risk-return tradeoff.

Index Methodology and Exposure Characteristics

The three underlying indices represent distinct segments of the U.S. equity market with different risk and return characteristics. The Nasdaq-100 Index comprises 100 large-capitalization stocks listed on the NASDAQ exchange, with significant exposure to technology, consumer, and communication services sectors. The Russell 2000 Index represents small-capitalization U.S. stocks and exhibits higher volatility and different economic cycle sensitivity than large-cap indices. The S&P 500 Index includes 500 large-capitalization U.S. companies and serves as a broad market benchmark. By linking returns to the worst-performing index, investors face concentrated downside risk to whichever segment of the market experiences the greatest decline.

The pricing supplement discloses that investors will not receive dividends with respect to any underlying and will not participate in any appreciation of any underlying. This means the return calculation reflects only price appreciation or depreciation, not the income component provided by dividends paid by underlying index constituents. For indices such as the S&P 500 and Russell 2000 where dividend yields have historically contributed meaningfully to total return, this exclusion represents a material structural disadvantage compared to direct equity index investment. Investors are exposed to the full downside of any index decline but receive no benefit from the dividend income that direct stockholders would earn.

Risk Concentration in Worst-Performing Underlying Framework

The worst-of structure concentrates risk in a manner that increases the probability of coupon nonpayment and principal loss compared to a single-index linked security. If any one of the three indices declines below 61.50% of its initial value while the other two indices remain above that level, investors receive no contingent coupon payment despite potentially positive performance in two of three markets. This asymmetry means investors must accept downside exposure to all three indices but benefit only if all three indices perform adequately. Statistically, the worst-of an n-number-of-underlyings product has a higher probability of barrier breach than any individual underlying, making contingent coupon default more likely than if returns were linked to a single, more stable index.

The pricing supplement emphasizes 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 language acknowledges that the diversification benefit that might appear to exist from linking to three indices is negated by the worst-of mechanism. A severe decline in any single index, regardless of how well the other two perform, will trigger the contingent coupon barrier and eliminate principal protection at maturity. The filing provides no historical simulation or stress test data showing how frequently the worst-performing index would have breached the 61.50% barrier during past market cycles.

Scheduled Valuation Dates and Payment Timeline

The securities feature 38 scheduled valuation dates commencing on August 31, 2026, with subsequent valuation dates generally occurring on the last business day of each calendar month, concluding with the final valuation date of July 30, 2029. Contingent coupon payment dates occur on the third business day after each valuation date, except that the contingent coupon payment coinciding with maturity on August 2, 2029, serves as both the final coupon payment and the maturity payment date. The pricing supplement permits postponement of any valuation date if such date is not a scheduled trading day or if certain market disruption events occur, though the specific definitions of market disruption events that would justify postponement are referenced in accompanying product and underlying supplements not included in the pricing supplement.

The monthly valuation schedule provides frequent touchpoints for contingent coupon eligibility, increasing the number of occasions on which the worst-performing underlying could breach its coupon barrier. The company did not disclose in the pricing supplement what recalibration or reset provisions, if any, would apply if market disruption events caused valuation date postponements. Investors holding these securities through August 2029 face 38 separate contingent coupon determination dates, each of which represents a potential forfeiture event if the worst-performing index closes below 61.50% of its initial level.

Regulatory Framework and Offering Status

The pricing supplement is filed pursuant to Securities and Exchange Commission Rule 424(b)(2) and is a preliminary pricing supplement subject to completion. The 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 document explicitly 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, and any representation to the contrary would constitute a criminal offense.

The preliminary pricing supplement is dated July 16, 2026, with an anticipated pricing date of July 29, 2026, and an issue date of August 3, 2026. The offering represents a medium-term note, Series N, with pricing supplement number 2026-USNCH33175. Investors should review the product supplement, underlying supplement, prospectus supplement, and prospectus, each dated February 25, 2026, for additional details regarding the mechanics, risks, tax implications, and suitability considerations not fully disclosed within the pricing supplement alone.