Citigroup Global Markets Launches Autocallable S&P 500-Linked Medium-Term Notes Maturing in 2028

Note Structure and Automatic Early Redemption Details

These unsecured debt notes issued by Citigroup Global Markets Holdings Inc. and fully guaranteed by Citigroup Inc. differ from traditional bonds by not paying periodic interest or guaranteeing principal repayment at maturity. Returns depend solely on the S&P 500 Index performance from the strike date of July 17, 2026 through valuation dates ending July 25, 2028.

The automatic early redemption feature is central to the notes’ appeal. If on the first valuation date, July 27, 2027, the S&P 500 closes at or above 7,457.69, the notes will redeem automatically three business days later at $1,000 plus a 10.50% premium. This allows investors to receive principal and premium without waiting until maturity, though the premium may be less than the index’s actual appreciation during that period, reflecting trade-offs inherent in structured products.

Downside Buffer and Loss Exposure

A 20% downside buffer is incorporated, with a buffer threshold at 5,966.152 (80% of the initial underlying value). If the notes are not redeemed early, three payout scenarios occur at maturity: if the final index value exceeds the initial, investors receive $1,000 plus full 100% participation in the upside; if the index finishes below initial but above the buffer, investors receive $1,000 with no additional return; if the index falls below 5,966.152, losses accrue at 1% of principal for every 1% decline beyond the 20% buffer. Investors bear full downside risk beyond the buffer and receive no dividends on the underlying index.

Valuation Framework and Pricing Information

Key dates include the strike date July 17, 2026, pricing on July 20, 2026, and issuance on July 23, 2026. Valuation dates are July 27, 2027 (for potential early redemption) and July 20, 2028 (final maturity), subject to postponement for non-trading days or market disruptions as detailed in the product supplement.

The initial underlying value of 7,457.69 anchors all performance measurements. The upside participation rate is 100%, allowing dollar-for-dollar gains if held to maturity without early redemption. Citigroup Global Markets Inc. acts as underwriter, receiving a $1 underwriting fee per $1,000 note.

Estimated Security Value and Pricing Discount

Citigroup Global Markets Holdings Inc. estimated the notes’ value on pricing date at approximately $945.50 each, reflecting a discount of about $54.50 from the $1,000 issue price. This valuation is based on proprietary pricing models and internal funding rates and is not indicative of actual profit or secondary market price. The discount reflects embedded costs, risks, and hedging activities related to autocallable products. Citigroup and affiliates may profit from hedging regardless of subsequent security value changes.

Credit Risk and Guarantee Details

Payments are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. Although Citigroup Inc. fully and unconditionally guarantees the notes, this guarantee depends on its financial capacity. The notes are unsecured debt, subordinated to secured creditors in insolvency. Investors risk losing payments if either entity defaults. The notes are not FDIC insured or government guaranteed.

Liquidity and Market Considerations

The notes are not exchange-listed and have limited liquidity. Secondary market trading depends on over-the-counter counterparties, if available. Investors should assess liquidity needs carefully, as early sale or redemption may be difficult or result in unfavorable pricing. The notes are identified by CUSIP 17334C4F8 and ISIN US17334C4F83.

Offering Terms and Documentation

These Medium-Term Senior Notes, Series N, are offered under Pricing Supplement No. 2026-USNCH33197, filed pursuant to Rule 424(b)(2) under the Securities Act of 1933, with registration numbers 333-293732 and 333-293732-02. Related documents include Product Supplement No. EA-02-12, Underlying Supplement No. 13, and prospectus supplements dated February 25, 2026. Investors should review all documents for detailed terms, index valuation methods, and market disruption provisions.

Risk Factors and Suitability

Investing in these notes involves risks distinct from conventional debt, combining equity market, credit, liquidity, and redemption risks. The early redemption feature caps upside at the first valuation date premium if triggered, limiting participation in further index gains. If not redeemed early, investors benefit from full upside participation at maturity but face downside losses beyond the 20% buffer. This asymmetric risk-return profile requires careful consideration by sophisticated investors.

Distribution and Underwriting

Citigroup Global Markets Inc. serves as principal underwriter and distributor, charging a $1 underwriting fee per note (0.1% of principal). Additional distribution details appear in the "Supplemental Plan of Distribution" section of the pricing supplement. The offering is preliminary, marked "Subject to Completion, Dated July 20, 2026," and may be amended. The SEC and state securities commissions have not approved or disapproved the notes or verified the offering documents’ accuracy. The product is offered only where permitted by law.

Regulatory Filings and Legal Disclaimers

The offering was filed under Rule 424(b)(2) of the Securities Act of 1933, referencing registration statements 333-293732 and 333-293732-02. The preliminary status indicates some terms, including pricing, remain subject to finalization. The SEC disclaimer clarifies that regulatory filings do not constitute endorsements or approvals and that offering documents should not be construed as offers or solicitations where prohibited.