Citigroup Global Markets Holdings Launches Autocallable Equity-Linked Notes Based on Worst Performer Among DJIA, Nasdaq-100, and Russell 2000 Through 2031

Citigroup Global Markets Holdings as Issuer of Structured Equity-Linked Notes

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., serves as the issuer for various structured debt products, including medium-term notes. Citigroup Inc. provides an unconditional guarantee on all payments under these instruments, which is a critical aspect of this offering as investors rely on the credit strength of both entities.

The filing identifies Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, as the underwriter acting as principal. CGMI’s dual role as underwriter and potential market maker presents a conflict of interest, which is explicitly disclosed. The securities will not be listed on any exchange, so secondary market liquidity depends solely on CGMI’s discretion to make a market, with no obligation to do so.

Autocallable Contingent Coupon Securities Structure and Payment Triggers

On each scheduled valuation date—from August 27, 2026, through July 28, 2031—a contingent coupon payment is made only if the worst performing underlying index’s closing value is at or above 75% of its initial value set on the pricing date. If the worst performing index falls below this coupon barrier, no coupon is paid for that period.

The contingent coupon rate is at least approximately 8.80% per annum, equating to at least 0.7333% monthly on the stated principal. The exact rate will be finalized on the pricing date, July 27, 2026, with the preliminary figure serving as a minimum floor.

Worst-of Index Structure and Its Impact on Investor Returns

This structured product’s "worst-of" feature links performance to the single lowest performing index among the Dow Jones Industrial Average, Nasdaq-100, and Russell 2000. Even if two indexes perform well, a significant decline in one can eliminate coupon payments or cause principal loss at maturity.

The filing warns investors that adverse movements in any one underlying index affect returns. Since these indexes represent different U.S. equity market segments—large-cap blue chips, large-cap tech, and small-cap stocks—the chance of one underperforming is higher than for a single index. Investors do not receive dividends nor participate in index appreciation.

Coupon and Final Barrier Levels Explained

Two key barriers apply: a 75% coupon barrier for contingent coupon payments and a 70% final barrier for principal repayment at maturity, both relative to initial values set on the pricing date.

If, at maturity, the worst performing index closes at or above 70% of its initial value, investors receive the full $1,000 principal per security. If it closes below 70%, investors receive an amount calculated as $1,000 plus $1,000 multiplied by the worst performing index’s return, which could result in substantial principal loss or total loss. The filing explicitly warns of potential complete principal loss.

Autocall Feature and Early Redemption Conditions

The securities include an autocall mechanism allowing early redemption before the July 31, 2031 maturity. If, on any autocall date, the worst performing index’s closing value equals or exceeds its initial value, the securities will be automatically redeemed. The first autocall date is detailed in the full term sheet.

Early redemption returns principal plus the applicable coupon but ends future coupon opportunities. Because the autocall requires the worst performing index to reach or surpass 100% of its initial value, a broad market rally is necessary. Investors should consider scenarios with and without autocall when assessing expected returns.

Estimated Valuation Discount at Issuance

The preliminary supplement reveals that Citigroup Global Markets Holdings Inc. expects the securities’ estimated value on the pricing date to be at least $901.50 per $1,000 principal, significantly below the $1,000 issue price.

This roughly $98.50 discount per security includes an underwriting fee up to $41.25 and other embedded costs such as internal funding rates and proprietary pricing assumptions. The estimated value does not reflect CGMI’s profit or repurchase price and indicates investors start with a structural discount relative to CGMI’s internal valuation.

Underwriting Fees, Distribution Expenses, and Conflicts of Interest

CGMI will earn an underwriting fee up to $41.25 per security, with issuer proceeds of at least $958.75 per security under the maximum fee scenario. Additionally, CGMI will pay fees up to $1.50 per security to electronic platform providers facilitating sales through selected dealers and custodians.

CGMI and affiliates may also profit from hedging activities related to the offering, even if securities decline in value. This creates a conflict between investors’ interests—who benefit from rising indexes and coupons—and CGMI’s hedging positions. The filing highlights this risk and advises reviewing the prospectus sections on proceeds and hedging for details.

Credit Risk and Guarantee by Citigroup Inc.

All payments, including coupons and principal, depend on the credit risk of Citigroup Global Markets Holdings Inc. as issuer and Citigroup Inc. as guarantor. These unsecured debt obligations rank equally with other unsecured creditors and lack collateral or priority claims. Investors risk receiving no payments if both entities default.

The securities are not bank deposits, nor insured or guaranteed by the FDIC or any government agency, and are not obligations of any bank. In severe financial distress affecting Citigroup Inc., no government backstop applies. Investors should independently evaluate Citigroup Inc.’s credit ratings and financial health as part of due diligence.

Liquidity and Secondary Market Risks

The securities will not be exchange-listed, limiting liquidity options before maturity. Secondary market transactions depend entirely on CGMI’s discretionary market-making, with no obligation to provide liquidity. The supplement warns investors must accept potentially limited or no liquidity during the term.

Without exchange listing, no continuous price discovery exists post-issuance. Any indicative bids from CGMI will reflect internal models, funding rates, and market conditions, likely including costs and spreads that reduce value for sellers. Combined with illiquidity, issuance discount, and worst-of structure, these factors create a more complex risk profile than conventional bonds with similar maturities.

Preliminary Status and Finalization of Key Terms on Pricing Date

The supplement is preliminary and subject to completion. Key economic terms—including the exact contingent coupon rate, initial underlying index values, and total principal amount—will be finalized on the pricing date, July 27, 2026.

Until a final supplement is filed, disclosed terms represent the anticipated structure, not the confirmed offering. The registration statement is filed with the SEC under Nos. 333-293732 and 333-293732-02. Prospective investors are urged to review the preliminary supplement alongside the product supplement, underlying supplement, prospectus supplement, and prospectus—all dated February 25, 2026—before investing. The full risk factor discussion begins on page PS-6 of the preliminary pricing supplement.