Citigroup Global Markets Holdings Inc. filed a preliminary pricing supplement (424B2) on August 4, 2026, for Buffered Autocallable Securities linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, with a stated maturity of September 5, 2031.

Key Highlights

  • Issuer and guarantor: Securities are issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., and fully and unconditionally guaranteed by Citigroup Inc.
  • Stated principal amount: $1,000 per security, with an underwriting fee of up to $10.00 per security and proceeds to issuer of $990.00 per security.
  • Estimated value: The issuer currently expects the estimated value on the pricing date will be at least $873.00 per security, less than the $1,000 issue price.
  • Buffer and threshold: The final buffer value is 85% of the initial underlying value (buffer percentage: 15%), and the premium threshold value is 90% of the initial underlying value.
  • Automatic early redemption: Securities may be automatically redeemed at $1,000 plus an applicable premium if the underlying closes at or above the premium threshold value on any valuation date prior to the final valuation date.
  • Key dates: Pricing date is August 31, 2026; issue date is September 3, 2026; maturity date is September 5, 2031, unless earlier redeemed.
  • No exchange listing: The securities will not be listed on any securities exchange.

Structure, Risks, and Terms of the Citigroup Autocallable Notes

According to the filing, the securities are unsecured Medium-Term Senior Notes, Series N, and do not pay interest or guarantee repayment of principal at maturity. Returns depend entirely on the performance of the underlying index. The underlying, the filing states, "tracks exposure to the S&P 500 Futures Excess Return Index on a volatility-targeted, trend-adjusted basis, less certain notional costs and less a decrement of 6% per annum." The filing further notes that "the underlying is highly risky because it may reflect highly leveraged exposure to any decline in the S&P 500 Futures Excess Return Index," and that the S&P 500 Futures Excess Return Index "is likely to underperform the S&P 500 Index because of an implicit financing cost."

The filing describes three possible maturity outcomes if the securities are not automatically redeemed early. If the final underlying value is greater than or equal to the premium threshold value (90% of the initial underlying value), holders receive $1,000 plus the applicable premium. If the final underlying value is below the premium threshold but at or above the final buffer value (85% of the initial underlying value), holders receive $1,000 with no premium. If the final underlying value falls below the final buffer value, holders lose "1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer percentage." Investors also forgo any dividends with respect to the underlying.

The filing discloses that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. CGMI, an affiliate of the issuer, acts as underwriter on a principal basis and "may profit from expected hedging activity related to this offering, even if the value of the securities declines," according to the filing. An additional fee of up to $2.00 per security may be paid to electronic platform providers where applicable.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a preliminary 424B2 pricing supplement for autocallable structured notes linked to a volatility-targeted, decrement-adjusted S&P 500 futures index, disclosing pricing terms, risk factors, and an estimated security value of at least $873.00 against a $1,000 issue price.