Citigroup Launches Autocallable Securities Linked to Russell 2000 and S&P 500 Performance

Structural Overview of the Autocallable Securities

The disclosure describes a complex debt instrument issued by Citigroup Global Markets Holdings Inc. and fully guaranteed by Citigroup Inc. Unlike conventional bonds, these Medium-Term Senior Notes do not pay periodic interest and do not guarantee repayment of principal at maturity. Instead, returns depend entirely on the performance of the worst-performing underlying between the Russell 2000 Index and the S&P 500 Index. The stated principal amount is $1,000 per security, with an issue price of $1,000 and an underwriting fee of $21.00 per security, resulting in net proceeds to the issuer of $979.00 per security.

The securities feature a preliminary pricing date of July 20, 2026, and an issue date of July 23, 2026. Maturity is scheduled for July 25, 2029, unless the securities are automatically redeemed earlier. The filing makes clear that investors will have downside exposure to whichever of the two indices performs worse on each valuation date, and they will not receive dividends from either underlying nor participate in any appreciation of the indices themselves.

Automatic Early Redemption and Premium Structure

The securities offer the potential for automatic early redemption at a premium following any valuation date prior to maturity, provided the closing value of the worst-performing underlying on that date is greater than or equal to its premium threshold level applicable to that date. If automatic early redemption occurs, the investor receives $1,000 plus the applicable premium in cash on the third business day following the valuation date, and the securities cease to be outstanding. The filing discloses that the premium for the first valuation date, January 20, 2027, is 5.00% of the stated principal amount. The company did not disclose the specific premium percentages for the remaining ten valuation dates in this preliminary pricing supplement.

The filing notes that the premium applicable to each valuation date may be significantly less than the appreciation of any underlying from the pricing date to the applicable valuation date. This structure creates an asymmetry where investors capture only a portion of any index gains through the predetermined premiums, while exposure to index declines remains substantial.

Payoff Scenarios at Maturity

If the securities are not automatically redeemed prior to maturity, the payment at maturity depends on the final underlying value of the worst-performing underlying on July 20, 2029, the final valuation date. The filing establishes three distinct payoff scenarios. First, if the final underlying value is greater than or equal to the premium threshold level applicable to the final valuation date, investors receive $1,000 plus the final premium. Second, if the final value falls below the premium threshold but remains at or above the final barrier value of 70.00% of the initial underlying value, investors receive the full stated principal amount of $1,000 with no premium.

The third scenario presents the most significant risk: if the final underlying value of the worst-performing underlying on the final valuation date falls below the final barrier value of 70.00%, investors will lose 1% of stated principal for every 1% by which the final underlying value is less than the initial underlying value. The filing explicitly states that investors may receive significantly less than the stated principal amount and possibly nothing at maturity in this scenario. This downside participation structure means investors bear substantial losses if either index declines more than 30% from its initial valuation level.

Valuation Dates and Market Disruption Provisions

The filing specifies eleven valuation dates: January 20, 2027, April 20, 2027, July 21, 2027, October 20, 2027, January 20, 2028, April 20, 2028, July 20, 2028, October 20, 2028, January 22, 2029, April 20, 2029, and July 20, 2029 (the final valuation date). 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 filing does not provide detailed definitions of what constitutes a market disruption event in this preliminary pricing supplement, referring investors instead to the accompanying product supplement.

The timing of valuation dates—approximately quarterly—means that the securities' fate will be determined by the relative performance of the two indices at eleven specific points in time over a three-year period, rather than based on the overall performance trajectory throughout the term. This discrete sampling approach creates discrete risk that index performance between valuation dates, however dramatic, will not trigger early redemption.

Risk Factors and Downside Exposure

The disclosure emphasizes that investors bear risks associated with each of the two underlyings and will be negatively affected by adverse movements in any one of them. Because the securities are linked to the worst-performing index, an investor is essentially long a short correlation trade—benefiting if the two indices move together but facing losses if one significantly underperforms the other. The filing states that investors will be subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., meaning that even if the index performance would otherwise generate a payment, investors might receive nothing if either entity defaults.

The filing notes that investors are not entitled to receive dividends with respect to any underlying or to participate in any appreciation of the indices. This means that even if the Russell 2000 or S&P 500 generate substantial dividend payments during the three-year term, those dividends are irrelevant to the securities' payoff. Additionally, the securities are not listed on any securities exchange, creating potential liquidity challenges. Investors must be willing to accept an investment that may have limited or no liquidity and cannot easily exit their position before maturity or automatic redemption.

Valuation and Estimated Fair Value

The filing discloses that Citigroup Global Markets Holdings Inc. currently expects the estimated value of the securities on the pricing date will be at least $922.50 per security, which is less than the issue price of $1,000. This $77.50 per-security discount between the issue price and estimated fair value represents the embedded cost of the autocallable structure and represents approximately 7.75% of the stated principal amount. The filing clarifies that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate.

The company explicitly states that the estimated value is not an indication of actual profit to Citigroup Global Markets Inc. or other affiliates, nor is it an indication of the price, if any, at which Citigroup Global Markets Inc. or any other person may be willing to buy the securities from investors at any time after issuance. This language highlights the significant bid-ask spread typically associated with structured products and warns investors that secondary market liquidity may be poor and exit prices may be substantially below estimated fair value.

Underwriting Fees and Distribution Terms

The filing discloses that Citigroup Global Markets Inc., an affiliate of the issuer, is acting as principal underwriter and will receive an underwriting fee of up to $21.00 for each security sold. From this fee, Citigroup Global Markets Inc. will pay selected dealers not affiliated with it a selling concession of $20.00 per security and a structuring fee of up to $1.00 per security. This distribution structure creates significant incentives for dealers to promote the securities to retail and institutional investors. The filing also notes that Citigroup Global Markets Inc. may pay fees to electronic platform providers for securities sold through such platforms.

Beyond the underwriting fee, the disclosure warns that 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. This statement acknowledges that the issuer and its affiliates will enter into derivatives and other hedging positions to manage their exposure to the Russell 2000 and S&P 500 indices, and these hedging profits are separate from and independent of whether the securities themselves generate gains or losses for investors.

Guarantee Structure 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., which is the actual issuer. This guarantee structure means that if the issuing subsidiary cannot make required payments, Citigroup Inc. is obligated to do so. However, the filing emphasizes that investors are subject to the credit risk of both the issuer and the guarantor, meaning that deterioration in either entity's creditworthiness could affect the probability of receiving full and timely payments.

The disclosure also explicitly states that the securities are not bank deposits 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 a bank. This language underscores that despite Citigroup's prominence as a financial institution, these are unsecured debt securities subject to counterparty credit risk and are not entitled to the protections afforded to traditional bank deposits.

Preliminary Pricing Supplement Status and Filing Context

The filing is marked as a preliminary pricing supplement subject to completion, dated July 17, 2026, indicating that certain terms and conditions may change before the securities are definitively priced and issued. The document is filed pursuant to Rule 424(b)(2) and references Registration Statement Nos. 333-293732 and 333-293732-02. The pricing supplement is accompanied by several related documents: Product Supplement No. EA-02-12 dated February 25, 2026; Underlying Supplement No. 13 dated February 25, 2026; and a Prospectus Supplement and Prospectus each dated February 25, 2026. The filing explicitly states that it is not an offer to sell nor a solicitation to buy in any state where such offer or sale is not permitted.

The preliminary nature of this document means that specific premium percentages for valuation dates after January 20, 2027, as well as the final pricing date, issue price, and underwriting fee details, may be adjusted before the definitive pricing supplement is filed. Investors should review the definitive pricing supplement and all accompanying prospectus materials before making investment decisions, as material terms may differ from those presented in this preliminary version.