Citigroup Introduces Autocallable Barrier Notes Linked to Russell 2000 Index Featuring 13.45% Early Redemption Premium

Note Structure and Early Redemption Feature

These unsecured debt obligations of Citigroup Global Markets Holdings Inc., fully guaranteed by Citigroup Inc., do not pay periodic interest nor guarantee principal repayment at maturity. Their return depends entirely on the Russell 2000 Index performance from the pricing date of July 28, 2026, through maturity.

The notes are autocallable with an early redemption mechanism: if the Russell 2000 Index closes on or above its initial level on August 4, 2027, the notes will be automatically redeemed three business days later. Investors will receive the $1,000 principal plus a 13.45% premium ($134.50 per note). Post-redemption, investors forfeit any further participation in index gains.

Downside Barrier and Principal Protection

The final barrier is set at 80% of the initial index value, serving as a conditional repayment threshold. If not called early and the index remains at or above this barrier on July 30, 2029, investors will receive the full $1,000 principal regardless of any index decline.

If the index closes below the 80% barrier at maturity, investors incur proportional principal losses—losing 1% of principal for every 1% the index falls below its initial value. In severe declines, investors could lose most or all principal, distinguishing these notes from traditional principal-protected debt.

Upside Participation and Return Calculation

For notes not redeemed early, investors participate at 150% of any index appreciation at maturity. The return equals $1,000 multiplied by the index return multiplied by 1.5 if the final index value exceeds the initial value on July 30, 2029.

The index return is calculated as (final index value - initial index value) divided by the initial index value. Dividends paid by index constituents are not included in returns, meaning dividend income does not offset losses or enhance gains.

Valuation Dates and Market Disruption Adjustments

Key valuation dates are August 4, 2027, and July 30, 2029 (final valuation). These dates may be postponed if they fall on non-trading days or if market disruptions occur. The prospectus supplement details how the Russell 2000 Index closing values are determined and adjusted under such events.

The maturity date is August 2, 2029, unless early redemption occurs. The roughly three-year term offers medium-term exposure to equity index performance, with two investment phases: the initial period through August 4, 2027, when the early redemption premium can be triggered, and the subsequent period through final maturity.

Pricing, Fees, and Estimated Valuation

Each note is priced at $1,000 with a $21.00 underwriting fee payable to Citigroup Global Markets Inc. (CGMI), the underwriter and issuer affiliate, resulting in net proceeds of $979 per note. Portions of this fee include a $20 selling concession and up to $1 structuring fee distributed to selected non-affiliated dealers.

Citigroup estimates the notes’ value at pricing to be at least $920.50 per note, significantly below the $1,000 issue price. This $79.50 difference reflects embedded option costs and structuring expenses. The estimated value is based on proprietary models and does not indicate actual profit or secondary market prices.

Liquidity and Credit Risk Warnings

The notes are not listed on any securities exchange, limiting liquidity and potentially restricting investors’ ability to sell before maturity. Investors must accept potential illiquidity.

All payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc., which fully and unconditionally guarantee the notes. These securities are not bank deposits, are not FDIC insured, nor guaranteed by any governmental agency or bank.

Dividend Exclusion and Impact on Returns

Investors do not receive dividends paid by Russell 2000 Index companies, differing from direct index ownership or ETFs. Over the three-year term, absence of dividend income may materially affect total returns, especially in markets with significant dividend yields.

This design impacts both upside and downside scenarios: investors gain 150% of price appreciation but do not benefit from dividends, and losses below the barrier are not cushioned by dividend income.

Hedging and Affiliate Profitability

CGMI and affiliates may profit from hedging activities related to this offering, potentially benefiting regardless of the notes’ performance. This may present conflicts of interest.

Additionally, CGMI pays fees to electronic platform providers for each security sold through selected dealers and custodians, adding distribution costs not detailed in the pricing supplement.

Preliminary Pricing Supplement and Documentation

Dated July 28, 2026, this preliminary pricing supplement is "subject to completion" and may be updated before final issuance. A registration statement has been filed with the SEC under Nos. 333-293732 and 333-293732-02, and this supplement is filed under Rule 424(b)(2).

Full terms are detailed in the product supplement (No. EA-02-12), underlying supplement (No. 13), prospectus supplement, and prospectus dated February 25, 2026. These documents provide critical information on index valuation, market disruptions, and the Russell 2000 Index itself. Investors should review all materials carefully.

Risk Profile and Suitability

The offering acknowledges risks beyond conventional debt securities, including potential non-payment if Citigroup defaults, limited liquidity, and substantial principal loss if the barrier is breached. These risks are summarized in the "Summary Risk Factors" section starting on page PS-5 of the full pricing supplement.

The immediate effect of this offering on Citigroup’s common stock price is unclear from public filings. The supplement focuses on the notes’ terms and does not address equity market impacts. Market participants should monitor Citigroup stock trading activity following final pricing.