Citigroup Launches Autocallable Equity-Linked Securities Tied to Space Exploration Technologies

Structure and Terms of the Autocallable Securities

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued these unsecured debt securities with a full and unconditional guarantee from Citigroup Inc. The offering was filed pursuant to Rule 424(b)(2) under registration statement numbers 333-293732 and 333-293732-02, with an issue date of July 28, 2026, and a maturity date of January 27, 2028, unless the securities are automatically called for early redemption. The stated principal amount for each security is $1,000, with an issue price of $1,000 per security and an underwriting fee of $15 per security, resulting in net proceeds to the issuer of $985 per security.

The securities are structured around six valuation dates scheduled for October 23, 2026; January 25, 2027; April 23, 2027; July 23, 2027; October 25, 2027; and January 24, 2028 (the final valuation date). Contingent coupon payments are made three business days after each valuation date, with the final contingent coupon payment due on the maturity date. The pricing date for the offering was July 23, 2026, establishing the initial underlying value based on the closing value of Space Exploration Technologies Corp. on that date. All valuation dates are subject to postponement if the scheduled date is not a trading day or if certain market disruption events occur.

Contingent Coupon Payment Mechanics and Barrier Structures

Investors receive contingent coupon payments equal to 6.9875% of the stated principal amount (equivalent to a 27.95% annualized coupon rate) on each contingent coupon payment date, but only if and when the closing value of Space Exploration Technologies Corp. on the immediately preceding valuation date is greater than or equal to the coupon barrier value. The coupon barrier value has been set at 55% of the initial underlying value established on the pricing date. If the closing value falls below this barrier on any valuation date, no contingent coupon payment is made on the following payment date.

The structure includes a catch-up provision for missed coupon payments. If the closing value falls below the coupon barrier on one or more valuation dates and then recovers above the coupon barrier on a subsequent valuation date, the investor receives all previously unpaid contingent coupon payments on that subsequent payment date, though without interest on the amounts previously unpaid. However, if the closing value remains below the coupon barrier on all valuation dates from the initial drop through the final valuation date, the investor forfeits those missed contingent coupon payments entirely. At maturity, if the closing value of the underlying remains below the coupon barrier on the final valuation date, no additional contingent coupon payment is made.

Automatic Early Redemption and Potential Autocall Dates

The securities feature an automatic early redemption structure that may significantly limit investor upside potential. If on any potential autocall date the closing value of Space Exploration Technologies Corp. equals or exceeds the initial underlying value established on the pricing date, each security is automatically called for redemption. The redemption occurs on the immediately following contingent coupon payment date for a cash payment of $1,000 plus the related contingent coupon payment. Five potential autocall dates have been scheduled: October 23, 2026; January 25, 2027; April 23, 2027; July 23, 2027; and October 25, 2027.

The disclosure emphasizes that the automatic early redemption feature may significantly curtail investor returns if Space Exploration Technologies Corp. performs favorably. If the underlying appreciates such that its closing value reaches or exceeds the initial value on any of the five designated potential autocall dates, the securities will be called immediately, terminating the investment and preventing the investor from receiving additional contingent coupon payments that would otherwise have been due. The securities could be called as early as the first potential autocall date in October 2026, just three months after the issue date.

Payment at Maturity and Equity Downside Risk

If the securities are not automatically redeemed prior to maturity, payment at maturity depends on the final underlying value, defined as the closing value of Space Exploration Technologies Corp. on the final valuation date. If the final underlying value is greater than or equal to the final barrier value (also set at 55% of the initial underlying value), the investor receives the full stated principal amount of $1,000 per security. However, if the final underlying value falls below the final barrier value, the investor does not receive the principal amount in cash.

Instead, if the final underlying value is below the final barrier value at maturity, the investor receives a fixed number of shares of Space Exploration Technologies Corp. equal to the equity ratio, calculated as the stated principal amount divided by the initial underlying value. Alternatively, at Citigroup's sole discretion, investors may receive the cash value of those shares based on the final underlying value. The disclosure explicitly states that if the final underlying value falls below the final barrier value, the securities received at maturity may be worth significantly less than the stated principal amount and could be worthless. In this scenario, investors receive no contingent coupon payment on the maturity date, including any previously unpaid contingent coupon payments that were forfeited due to the underlying trading below the coupon barrier.

Credit Risk and Issuer Guarantees

All payments on the securities are fully subject to the credit risk of both Citigroup Global Markets Holdings Inc., the issuer, and Citigroup Inc., the guarantor. Citigroup Inc.'s full and unconditional guarantee backs all payments due under the securities. The disclosure notes that investors must be willing to accept the risk that neither the issuer nor the guarantor will meet their obligations. If either Citigroup Global Markets Holdings Inc. or Citigroup Inc. defaults on their respective obligations, investors may not receive any payments due under the securities, regardless of the performance of the underlying Space Exploration Technologies Corp.

The disclosure clarifies that the securities are unsecured debt obligations 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 any bank entity beyond Citigroup Inc.'s guarantee. Investors relying on these securities must conduct their own credit analysis of Citigroup Inc. to assess the likelihood of receiving promised payments.

Valuation of Securities and Estimated Fair Value

Citigroup Global Markets Holdings Inc. stated that the estimated value of the securities on the pricing date is expected to be at least $926.00 per security, which is $74.00 less than the $1,000 issue price. The estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate. The disclosure explicitly cautions that this estimated value is not an indication of actual profit to Citigroup Global Markets Inc. or other Citigroup affiliates, nor is it an indication of the price at which Citigroup Global Markets Inc. or any other person may be willing to buy the securities from investors at any time after issuance.

The disclosure indicates an immediate and substantial valuation gap between the issue price and the estimated fair value, reflecting the embedded costs of the equity options that provide the contingent coupon payments and the autocall feature. This valuation gap underscores the embedded compensation to the issuer and underwriter for structuring and hedging the securities. Beyond the $15 per security underwriting fee, Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to the offering, even if the value of the securities declines after issuance.

Liquidity Constraints and Trading Considerations

The securities will not be listed on any securities exchange, a significant constraint on liquidity for investors. The disclosure explicitly warns that investors must be willing to accept an investment that may have limited or no liquidity. The lack of exchange listing means there is no established secondary market where investors can readily sell the securities before maturity, and any secondary market transactions would depend entirely on bilateral negotiation with willing counterparties.

The disclosure notes that Citigroup Global Markets Inc. serves as the principal underwriter for the offering. However, no representation or expectation is made regarding Citigroup Global Markets Inc.'s willingness or ability to make a secondary market in the securities after issuance. Investors considering these securities should assume that exit opportunities before maturity may be extremely limited or unavailable, potentially trapping investors in the position until maturity or early redemption, even if investment thesis circumstances change materially.

Risks Associated with Space Exploration Technologies Corp. Underlying

The securities' performance is entirely dependent on the closing price of Space Exploration Technologies Corp., a privately held company. Investors have full downside exposure to the underlying asset, meaning that if Space Exploration Technologies Corp.'s valuation declines significantly, the value of the securities may decline correspondingly. Importantly, the disclosure clarifies that although investors bear downside risk to the underlying, they do not receive dividends with respect to the underlying and do not participate in any appreciation of the underlying above the initial underlying value, due to the automatic early redemption feature.

Since Space Exploration Technologies Corp. is a private company, pricing information for valuation purposes may be less transparent and more subject to valuation methodology questions than publicly traded securities. The disclosure does not specify the source or methodology for determining the closing values on each valuation date, which may introduce additional uncertainty for investors regarding the precise triggers for coupon payments, autocall events, and final maturity payments.

Regulatory Filing Status and Offering Conditions

The pricing supplement was filed as preliminary and subject to completion, dated July 17, 2026. The document notes that this preliminary pricing supplement and accompanying product supplement, prospectus supplement, and prospectus are not an offer to sell the securities, nor are they soliciting an offer to buy the securities, in any state where the offer or sale is not permitted. A registration statement relating to the securities has been filed with the Securities and Exchange Commission under registration statement numbers 333-293732 and 333-293732-02.

The disclosure includes the required statement that neither the SEC 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. The offering is subject to completion of the pricing process and finalization of terms. Investors are directed to read the pricing supplement together with the accompanying product supplement (No. EA-04-12, dated February 25, 2026) and prospectus supplement and prospectus (each dated February 25, 2026), which provide additional detail on the terms, risks, and characteristics of the securities.

Key Risks and Investor Considerations

The disclosure identifies several paramount risks that distinguish these securities from conventional debt. Investors' actual yield may be significantly lower than the yield on conventional Citigroup debt of the same maturity because contingent coupon payments may not be received in any period during which the underlying trades below the coupon barrier. The value received at maturity may be significantly less than the stated principal amount or zero if the underlying trades below the final barrier value on the final valuation date. The securities are subject to mandatory redemption prior to maturity if the underlying equals or exceeds the initial value on any of the five potential autocall dates, which limits the investor's ability to benefit from further upside appreciation of the underlying.

The combination of contingent coupon payments, equity downside participation, autocall termination, and illiquidity creates a complex risk profile that requires sophisticated analysis. Investors must be comfortable with the possibility of receiving only a portion of scheduled contingent coupon payments, potentially receiving shares worth less than principal if the underlying declines significantly, and having their position forcibly redeemed early if Space Exploration Technologies Corp.'s valuation recovers. The securities are not suitable for conservative investors seeking stable income or principal preservation, nor are they appropriate for investors who require liquidity or who cannot afford material principal loss.