Citigroup Launches Autocallable Securities Linked to Space Exploration Technologies with Three-Year Maturity

Autocallable Mechanism and Valuation Structure

The securities incorporate an autocallable feature that allows for early redemption prior to maturity if specific performance thresholds are met. On three designated valuation dates—July 28, 2027, July 31, 2028, and July 30, 2029—the closing value of Space Exploration Technologies Corp. stock will be evaluated against the premium threshold value, set at 80% of the initial underlying value as of the pricing date. If the underlying asset's value meets or exceeds this threshold on any valuation date before the final maturity date, the securities will automatically redeem within three business days thereafter for the stated principal amount plus the applicable premium for that period.

The premium structure increases progressively across valuation periods to incentivize earlier redemption scenarios. Investors holding securities through the first valuation date could receive a 25% premium if conditions are met; the second valuation date offers a 50% premium; and the final valuation date provides a maximum 75% premium if redemption has not occurred earlier. Citigroup disclosed that these premiums represent at least the specified percentages but may be determined more precisely during the pricing process on July 29, 2026. The company noted that the applicable premium may be significantly less than any actual appreciation of the underlying from the pricing date to the valuation date in question.

Final Valuation Outcomes and Barrier Protection Mechanics

If the securities remain outstanding through maturity without early redemption, the final payment to investors depends on where the closing value of Space Exploration Technologies Corp. falls relative to defined threshold levels. Should the final underlying value exceed or equal the 80% premium threshold value, investors receive $1,000 plus the 75% premium applicable to the final valuation date. This scenario represents the most favorable outcome for investors holding through maturity under the pricing terms disclosed in the offering document.

For scenarios where the final underlying value falls below the premium threshold but remains at or above the final barrier value (set at 50% of the initial underlying value), investors receive the stated principal amount plus an absolute return amount. This absolute return amount is calculated by multiplying $1,000 by the absolute value of the underlying return, defined as the percentage change from the initial to final underlying value. However, if the final underlying value declines below the 50% barrier level, investors face direct downside exposure whereby they forfeit $1,000 multiplied by the percentage decline in the underlying from its initial value. The disclosure explicitly warns that investors may lose a significant portion or potentially all of their investment in this scenario.

Credit Risk and Issuer Guarantees

The securities are unsecured senior debt obligations of Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. All payments due under the securities, including any premiums upon early redemption or maturity payments, are subject to the credit risk of both the issuer and its parent company. Citigroup Inc. has provided an unconditional full guarantee of all amounts due on the securities, subordinating its credit standing to ensure payment obligations are met if the subsidiary defaults.

The disclosure documentation emphasizes that these securities are not bank deposits and receive no insurance protection from the Federal Deposit Insurance Corporation or any other governmental agency. Investors bear the full credit exposure to Citigroup Global Markets Holdings Inc. and Citigroup Inc., meaning that deterioration in either entity's financial condition or credit ratings could impair the ability to receive any payments due under the securities. This credit risk component is independent of the performance-based returns tied to Space Exploration Technologies Corp., creating a dual-risk structure that distinguishes these instruments from conventional debt securities backed solely by issuer creditworthiness.

Pricing, Underwriting Fees, and Net Proceeds

The securities are priced at $1,000 per unit, with Citigroup Global Markets Inc. serving as the principal underwriter. The underwriting fee is set at $25.00 per security, resulting in net proceeds to the issuer of $975.00 per security under the standard fee arrangement. However, investors purchasing through fee-based advisory accounts receive a discounted issue price of $975.00 per security, reflecting the absorption of underwriting fees within advisory fee structures. Additionally, Citigroup Global Markets Inc. agreed to pay electronic platform providers up to $1.00 per security for distribution through their systems where selected dealers and custodians utilize these platforms.

Citigroup disclosed that the estimated value of the securities on the pricing date—based on the company's proprietary pricing models and internal funding rates—is approximately $884.50 per security, materially lower than the $1,000 issue price. The company explicitly stated that this estimated value is not an indication of actual profit to Citigroup Global Markets Inc. or its affiliates, nor does it represent any commitment regarding secondary market pricing or repurchase willingness by the underwriter or other market participants. The disclosure further notes that Citigroup Global Markets Inc. and its affiliates expect to profit from hedging activities related to the offering independent of whether the securities' value appreciates or depreciates post-issuance.

Structural Characteristics and Dividend Forgone

Unlike conventional debt securities that make periodic interest payments and typically guarantee return of principal at maturity, these autocallable securities offer modified exposure contingent on the performance of the underlying asset. The securities do not provide any interest payments to holders during their three-year term. Instead, returns depend entirely on whether automatic early redemption occurs based on Space Exploration Technologies Corp.'s valuation milestones or on the final valuation outcome if the securities mature without early redemption.

To obtain this performance-linked return structure, investors must accept several constraints outlined in the disclosure. First, investors forfeit all dividends with respect to Space Exploration Technologies Corp. during the holding period, even if the underlying asset distributes dividends to direct shareholders. Second, investors accept potential downside exposure if the underlying asset's value declines below the 50% barrier threshold, creating scenarios where principal losses accumulate beyond the stated premium structure. Third, the securities lack secondary market liquidity, meaning investors face practical constraints in selling these instruments prior to early redemption or maturity.

Space Exploration Technologies Corp. as Underlying Reference Asset

The securities' return profiles are entirely dependent on the performance of Space Exploration Technologies Corp., a privately held aerospace and space transportation company. The disclosure specifies that valuation will be based on the closing value of the underlying on designated dates, though the specific methodology for determining this closing value for a non-exchange-traded entity is not detailed in the pricing supplement excerpt provided. The company's decision to link these securities to Space Exploration Technologies Corp. reflects investor interest in gaining exposure to the space industry's growth trajectory through structured instruments that offer downside mitigation at specific barrier levels.

The barrier and premium thresholds are expressed as percentages of the initial underlying value established on the pricing date. As of the filing date of July 21, 2026, the specific dollar values for the premium threshold (80% of initial value) and final barrier (50% of initial value) had not been completed, remaining subject to determination during the final pricing process scheduled for July 29, 2026. This timing reflects standard market practice where final pricing parameters for complex securities are set immediately before distribution begins, allowing issuers to optimize pricing based on current market conditions and investor demand.

Risk Factors Inherent to Structured Securities

The pricing supplement identifies multiple risk categories specific to these autocallable securities that distinguish them from conventional fixed-income investments. The most significant risk involves the potential for substantial or total loss of invested capital if Space Exploration Technologies Corp.'s value declines more than 50% from the initial valuation level and remains below the barrier through the final maturity date. Under such scenarios, investors experience direct proportional losses to principal—a 60% decline in the underlying, for example, results in a 60% loss of the $1,000 stated principal amount.

Secondary market liquidity represents another critical risk factor disclosed in the offering documents. The securities will not be listed on any securities exchange, and no secondary trading market for these instruments is guaranteed or expected to develop. Investors who seek to exit their positions prior to early redemption or maturity may find no willing buyers or face significant bid-ask spreads reflecting the illiquid and bespoke nature of structured securities. Combined with the contingent return structure that offers no traditional interest income, this liquidity constraint means investors must have genuine conviction about holding these securities through their entire potential three-year term or until early redemption occurs.

Regulatory Filing Status and Offering Documentation

The pricing supplement was filed as a Rule 424(b)(2) preliminary document pursuant to registration statement numbers 333-293732 and 333-293732-02. The Securities and Exchange Commission review of this offering addresses whether disclosure is complete and accurate but does not constitute approval of the securities' suitability or appropriateness for any particular investor category. The preliminary status of this pricing supplement indicates that final pricing terms may be subject to adjustment prior to the July 29, 2026 pricing date and the July 31, 2026 issue date.

The complete offering documentation comprises multiple layers: this pricing supplement specifies the particular terms for these Space Exploration Technologies-linked securities; the product supplement dated February 25, 2026 describes the general mechanics of autocallable dual directional barrier securities; the prospectus supplement and prospectus, also dated February 25, 2026, provide broad disclosure about Citigroup Global Markets Holdings Inc., its parent, and the regulatory framework governing these offerings. Investors are directed to review all components of this documentation package to understand the full scope of terms, risks, and operational mechanics governing these securities.

Distribution Channels and Investor Considerations

Citigroup Global Markets Inc. is acting as principal underwriter for this offering, with distribution through selected dealers and custodians, some of whom utilize electronic platform providers. The variable underwriting fee structure and platform payments indicate that distribution will occur across multiple channels, including direct institutional sales and retail channels accessed through broker-dealer relationships. The offering appears designed for institutional investors, financial advisors managing fee-based accounts, and sophisticated retail investors with access to platforms offering structured securities.

The distinction between standard issue price ($1,000) and the fee-based advisory account price ($975.00) reflects the industry convention of embedding underwriter compensation differently depending on distribution channel. Investors considering this offering should evaluate whether the estimated value of approximately $884.50 per security provides sufficient return potential through the premium structure to justify the embedded cost and credit risk exposure. The meaningful gap between issue price and estimated value underscores the value capture by the underwriter and the pricing discipline reflected in Citigroup's proprietary valuation models.