Citigroup Global Markets Holdings Introduces Callable Contingent Coupon Securities Linked to Nasdaq-100, Russell 2000, and S&P 500 with 2029 Maturity

Issuer and Structure Details of Series N Medium-Term Notes

These securities are issued under the Medium-Term Senior Notes, Series N program by Citigroup Global Markets Holdings Inc., a fully owned subsidiary of Citigroup Inc., a global banking and financial services leader. All payment obligations are unconditionally guaranteed by Citigroup Inc., exposing investors to credit risk from both issuer and guarantor. The filing clarifies these are unsecured debt instruments, not bank deposits, and are not insured or guaranteed by the FDIC or any government agency.

Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acts as principal underwriter for this offering. The securities will not be listed on any exchange, potentially limiting or eliminating secondary market liquidity for investors seeking early exit. This issuance aligns with Citigroup’s broader medium-term note and structured product strategy, regularly offering equity- and index-linked instruments tailored for institutional and qualified retail investors.

Worst-of Three-Index Linkage and Coupon Barrier Mechanics

A key feature is the "worst-of" linkage to three major U.S. equity benchmarks: Nasdaq-100, Russell 2000, and S&P 500. On each of the 12 valuation dates, the coupon payment eligibility depends solely on the index with the lowest return relative to its initial value set on the pricing date. Thus, even if two indexes perform well, a significant drop in one can eliminate the coupon for that period.

The coupon barrier is 70.00% of each index’s initial value. Each index must close at or above this threshold on a valuation date for a coupon to be paid. If the worst performing index closes below 70% on any valuation date, no coupon is paid for the next payment date. This risk applies independently to each period and is not recoverable.

Contingent Coupon Rate Minimum of 11.20% Annually

The filing states the contingent coupon per payment period will be at least 2.80% of the $1,000 principal, equating to a minimum annualized rate of 11.20%. The final rate will be set on July 31, 2026, and will not fall below this floor. This elevated yield compensates investors for risks including potential missed coupon payments.

The 12 valuation dates run from November 2, 2026, through July 31, 2029, with coupon payments occurring three business days after each valuation date. Valuation dates may be postponed due to non-trading days or market disruptions. Total income over the term may be significantly less than the stated annual rate if coupon conditions fail on multiple dates.

Issuer Call Option: Early Redemption on Ten Possible Dates

The notes include a callable feature allowing Citigroup Global Markets Holdings Inc. to redeem all securities early (not partially) on any of ten potential redemption dates aligned with coupon payment dates from February 1, 2027, to April 30, 2029. The issuer must provide at least three business days’ notice before exercising this option.

If called early, holders receive $1,000 per security plus any applicable contingent coupon. This call feature introduces reinvestment risk, as investors may not find comparable yields if redeemed when indexes have performed well. The filing does not specify conditions influencing the issuer’s decision to call.

Partial Principal Protection and Downside Risk at Maturity

The securities offer partial principal protection via a buffer. If the worst performing index’s final value is at least 85.00% of its initial value, investors receive the full $1,000 principal. Losses begin only if the index declines more than 15% from its initial level.

If the index closes below 85% on the final valuation date, investors incur a dollar-for-dollar principal loss for every percentage point below the 85% buffer. For example, a 40% decline results in a 25% principal loss, returning $750 per security before final coupon. The filing explicitly states investors lose 1% of principal for every 1% depreciation beyond the buffer, highlighting potential for significant losses.

Estimated Pricing Date Value Below Issue Price Indicates Embedded Costs

Citigroup Global Markets Holdings Inc. estimates the securities’ value on the pricing date to be at least $947.50 per security, below the $1,000 issue price. This estimate, based on proprietary models and internal funding rates, does not reflect actual profit or purchase prices post-issuance.

The difference between issue price and estimated value reflects embedded distribution costs and issuer hedging economics. CGMI and affiliates may profit from hedging activities even if security values decline, as disclosed.

Valuation Schedule: Quarterly Observations Over Three Years

The securities have twelve quarterly valuation dates from November 2, 2026, through July 31, 2029, subject to market disruption postponements. These dates offer multiple opportunities for coupon payments if all indexes remain above 70% coupon barriers. However, any underperformance by one index on these dates can forfeit coupons.

Investors may monitor volatility differences among Nasdaq-100, Russell 2000, and S&P 500, noting the Russell 2000’s historically higher volatility compared to the others.

Credit Risk Exposure to Issuer and Guarantor

As unsecured obligations of Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., investors bear full credit risk of both entities. The filing underscores that all payments depend on their creditworthiness. Default by either could result in partial or total capital loss regardless of index performance.

Citigroup Inc. is a leading global financial institution engaged in banking and wealth management worldwide. While the filing does not provide current credit ratings, investors should consult the accompanying prospectus supplement and prospectus dated February 25, 2026, for detailed credit risk disclosures.

Regulatory Filings and Disclosure Documents

The preliminary pricing supplement was filed under Rule 424(b)(2) as part of Registration Statement Nos. 333-293732 and 333-293732-02. The registration statement remains subject to completion and amendment. Supporting materials include Product Supplement No. EA-04-12, Underlying Supplement No. 13, and both Prospectus Supplement and Prospectus, all dated February 25, 2026.

The filing stresses that neither the SEC nor any state securities commission has approved or disapproved the securities or verified the completeness of the documents. Any contrary claim is a criminal offense. Prospective investors should review all disclosure documents thoroughly before investing.

Risk Summary: Key Considerations for Investors

The filing highlights risks distinguishing these securities from traditional fixed income. Notably, investors may receive no contingent coupons if the worst performing index falls below the 70% barrier on valuation dates, and may face principal losses if the index finishes below 85% at maturity. Additional risks include lack of exchange listing and potential illiquidity, issuer call risk removing future coupon certainty, and no participation in index appreciation or dividends.

These complex features make the securities suitable only for investors who have carefully assessed their risk tolerance and income goals in light of the detailed terms disclosed.