Citigroup Launches Autocallable Equity-Linked Notes Tied to Nasdaq-100, Russell 2000, and Regional Banking ETF

Structure and Payment Mechanics of the Autocallable Notes

The offering comprises unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and fully guaranteed by Citigroup Inc. The securities are structured as autocallable instruments, meaning they carry an embedded redemption feature allowing early termination if certain conditions are satisfied. The stated principal amount per security is $1,000, with an issue price of $1,000.00 and an underwriting fee of $30.00 per security, yielding net proceeds to the issuer of $970.00 per security.

The payment structure relies on periodic valuation dates occurring monthly or near-monthly from August 2026 through July 2029, with a final valuation date of July 30, 2029. On each contingent coupon payment date—the fifth business day after each valuation date—investors receive a contingent coupon equal to at least 0.8167% of the stated principal amount, provided the worst-performing underlying maintains a closing value at or above its coupon barrier value of 70% of its initial underlying value. The contingent coupon rate translates to approximately 9.80% per annum if all payments are received.

Multiple Underlying Indices and Worst-Performing Reference Mechanism

The securities are linked to the simultaneous performance of three distinct underlyings: the Nasdaq-100 Index, the Russell 2000 Index, and the State Street SPDR S&P Regional Banking ETF. This multi-index structure means investors are exposed to volatility across large-cap technology-heavy equities, small-cap equities, and regional banking sector equities simultaneously. The securities reference only the worst-performing underlying at any given time, which determines whether coupon payments are made and what principal amount, if any, is repaid at maturity.

The filing states that investors will receive no dividends from any underlying and will not participate in any appreciation of the underlyings. Instead, investors bear full downside exposure to whichever underlying performs most poorly. This asymmetric risk-reward structure—enhanced coupon potential coupled with limited upside and significant downside—is central to the offering's design. The initial underlying values for each index will be determined on the pricing date of July 30, 2026, and all barrier levels are calculated as fixed percentages of these initial values, established on that date.

Coupon Barrier Mechanics and Make-Whole Provisions

Contingent coupon payments are contingent upon the worst-performing underlying remaining above its coupon barrier value of 70% of initial value on each valuation date. If the worst-performing underlying closes below this 70% barrier on any valuation date, no coupon payment occurs on the corresponding payment date. The filing discloses that if the worst-performing underlying later recovers above the coupon barrier on a subsequent valuation date, investors receive all previously unpaid contingent coupons on that subsequent payment date, but without interest accruing on the previously unpaid amounts.

However, the filing notes an important limitation: if the worst-performing underlying falls below the coupon barrier and remains below that barrier through all subsequent valuation dates until the final valuation date, investors forfeit all unpaid contingent coupon payments. This means investors face the risk of receiving no coupon income whatsoever if market conditions deteriorate sufficiently. The make-whole feature only applies if a recovery occurs during the security's three-year term; if no recovery materializes, those forgone payments are permanent losses.

Principal Repayment at Maturity and Downside Risk Exposure

At maturity on July 31, 2029, unless the securities are called early, the repayment of principal depends entirely on where the worst-performing underlying closed on the final valuation date of July 30, 2029. If that underlying's final value is greater than or equal to its final barrier value of 60% of initial underlying value, investors receive the full stated principal amount of $1,000 per security. This outcome protects investors against losses even if an underlying declines by up to 40% from its initial value.

However, if the worst-performing underlying closes below 60% of its initial value at maturity, the filing discloses that principal repayment is reduced on a dollar-for-dollar basis by the underlying's percentage decline below its initial value. For example, if the worst-performing underlying declines 50% from its initial value, investors would receive only $500 per security ($1,000 plus $1,000 multiplied by negative 50%). The filing explicitly warns that investors may receive "significantly less than the stated principal amount" or "possibly nothing" if the worst-performing underlying experiences severe losses, and no contingent coupon payment is made on the maturity date in this scenario.

Autocall Feature and Early Redemption Risk

The securities carry an embedded autocall feature permitting automatic redemption prior to maturity beginning on the first potential autocall date, though the filing does not disclose the specific autocall conditions, dates, or redemption price. The prospectus supplement and product supplement, referenced in the filing but not reproduced in this preliminary pricing supplement, are expected to contain these details. This autocall mechanism means investors may have their positions terminated before the July 31, 2029 maturity date if predetermined performance thresholds are satisfied, potentially limiting upside if equity indices appreciate significantly after issuance.

Investors should note that early redemption removes the possibility of receiving additional contingent coupon payments through the original maturity date. The precise autocall trigger levels and frequency will be disclosed in the final prospectus materials, but the preliminary pricing supplement confirms that the autocall feature exists and may operate at any time after the first potential autocall date.

Pricing, Valuation Discount, and Secondary Market Considerations

The issue price of $1,000 per security includes a $30 underwriting fee payable to Citigroup Global Markets Inc., leaving $970 in net proceeds to the issuer per security. More significantly, the filing discloses that Citigroup Global Markets Holdings Inc. estimates the securities will be worth approximately $906.50 per security on the pricing date—a discount of $93.50 or roughly 9.35% from the issue price. This estimated value is derived from CGMI's proprietary pricing models and internal funding rate and represents the company's assessment of fair value at issuance.

The filing emphasizes that this estimated value is not an indication of the price at which CGMI or other market participants will be willing to purchase the securities from investors in the secondary market. The securities will not be listed on any securities exchange, suggesting they lack the liquidity characteristics of exchange-traded securities. Investors should expect difficulty selling these securities prior to maturity and should assume they are illiquid investments designed to be held to maturity or until an early call date.

Credit Risk and Guarantee Structure

All payments on the securities depend entirely on the creditworthiness of 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 that if the issuer defaults, Citigroup Inc. assumes all payment obligations. However, this guarantee does not reduce the credit risk inherent in the offering; it merely extends the credit obligation to the parent company. If Citigroup Inc. were to default or become unable to pay, investors would have no recourse and could lose all amounts due under the securities.

The filing warns investors explicitly that they must be willing to accept the risk of not receiving any payments if both Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations. This dual-name credit risk is in addition to the market risk tied to the three underlying equity indices. Investors in these securities are essentially making a leveraged bet on both the performance of equity indices and the solvency of Citigroup over a three-year period.

Hedging Activity and Affiliate Profit Mechanisms

The filing discloses that Citigroup Global Markets Inc. (CGMI) and its affiliates may profit from expected hedging activity related to this offering, independent of whether the securities' value increases or decreases. As the underwriter and primary market maker for these instruments, CGMI will likely purchase equity index futures, options, or other derivatives to hedge its exposure to the three underlying indices. Any profit margin embedded in these hedging activities accrues to CGMI and affiliated entities, not to security holders.

Additionally, CGMI will pay fees of up to $1.50 per security sold to electronic platform providers if dealers and custodians utilize such platforms in the distribution process. This additional layer of distribution costs further reduces the net economic benefit to investors and underscores the complex ecosystem of fees and affiliate profits embedded in the offering structure. Investors should understand that they are compensating multiple parties within the Citigroup ecosystem beyond the stated underwriting fee.

Risk Concentration and No Upside Participation

The securities concentrate risk on the single worst-performing underlying rather than diversifying across all three indices equally. This design creates an asymmetric payoff where investors suffer the maximum loss from whichever index declines most sharply, while receiving no benefit from outperformance of other indices. An investor holding these securities will be negatively affected by adverse movements in any one of the three underlyings, even if the other two indices appreciate significantly during the three-year period.

Furthermore, the filing makes clear that investors receive no dividend income from any underlying and participate in no appreciation of the indices. The securities are pure synthetic instruments that isolate equity market downside risk while offering only contingent coupon income as compensation. This structure is particularly unfavorable in environments where equity indices generate meaningful dividend yields or experience sustained appreciation, as investors capture none of those gains while remaining fully exposed to declining valuations.

Preliminary Nature of the Offering and Final Documentation

The filing is labeled "SUBJECT TO COMPLETION, DATED JULY 27, 2026" and explicitly states that "the information in this preliminary pricing supplement is not complete and may be changed." This indicates that the exact terms, barrier levels (expressed as dollar amounts in the filing), contingent coupon rates, and autocall mechanics remain subject to finalization. The final pricing supplement, expected on or shortly after July 30, 2026, will contain precise numerical values and detailed conditions that are not yet locked in this preliminary document.

Investors must read the complete prospectus materials—including Product Supplement No. EA-04-12 dated February 25, 2026 and Underlying Supplement No. 13—to understand all terms and risks. The preliminary nature of this disclosure means the offering has not yet been priced and the final terms could differ materially from the preliminary framework described here. Prospective investors should await publication of the final prospectus supplement and pricing supplement before making any investment decision.