Citigroup Introduces Callable Contingent Coupon Equity-Linked Notes Backed by Nasdaq-100, Russell 2000, and S&P 500 Indices

Exposure to Worst-Performing Index Among Three Major U.S. Market Benchmarks

The notes are linked to three prominent U.S. equity indices: Nasdaq-100, Russell 2000, and S&P 500. The filing specifies that investors bear downside risk corresponding to the index with the poorest performance relative to its initial value. Investors do not receive dividends nor benefit from any appreciation in the underlying indices. This asymmetric payoff exposes investors to the full downside of at least one major index without capturing any upside gains typical of equity investments.

These indices represent diverse U.S. market segments: Nasdaq-100 tracks 100 leading non-financial Nasdaq-listed companies, Russell 2000 covers small-cap stocks, and S&P 500 encompasses 500 large-cap companies across sectors. By linking to all three and basing coupon eligibility on the worst performer, the notes subject holders to broad market risk spanning multiple equity segments. Initial index values will be set on the pricing date, July 28, 2026.

Coupon Payments Contingent on Maintaining a 70% Barrier Until Maturity

Coupon payments will be made monthly or quarterly across 37 valuation dates through July 30, 2029, the final valuation date before maturity. Each contingent coupon equals at least 0.8375% of the principal, translating to a minimum annualized coupon rate of 10.05%. However, coupons are payable only if the worst-performing index closes at or above 70% of its initial value on the preceding valuation date.

The filing outlines a make-whole feature: if coupons are missed due to the index falling below the barrier, any subsequent recovery above the barrier triggers payment of all previously unpaid coupons without accrued interest. If the worst-performing index remains below the barrier through the final valuation date, unpaid coupons are forfeited entirely, meaning investors could receive no coupon payments throughout the three-year term.

Maturity Payment Depends on Final Barrier Set at 60%

At maturity on August 2, 2029, unless redeemed earlier, investors receive payment based on whether the worst-performing index is above a final barrier of 60% of its initial value. If the final index value is at or above this threshold, investors receive the full $1,000 principal plus any final contingent coupon.

If the worst-performing index closes below 60% at maturity, the redemption amount is calculated as $1,000 plus $1,000 multiplied by the index’s return from initial to final value. The filing warns investors could receive significantly less than the principal, potentially nothing, if the index declines by 60% or more. In this scenario, no final coupon payment will be made, including any unpaid coupons.

Issuer’s Call Option Enables Early Redemption at Par

Citigroup reserves the right to call and redeem the notes early on specified redemption dates during the term. Upon call, investors receive the full $1,000 principal per note. Although exact call dates are not detailed in the preliminary supplement, they will be provided in future offering documents.

This call feature limits investors’ upside, as Citigroup is likely to exercise the option if market conditions improve, capping gains while investors remain exposed to downside risk. From the issuer’s perspective, the call provides flexibility to manage interest rate risk and reduce coupon obligations if the underlying indices rally.

Estimated Pricing Value Reflects a Discount to Issue Price

Citigroup estimates the notes’ value on the pricing date to be at least $932.50 per security, below the $1,000 issue price, reflecting a 6.75% discount. This discount represents the cost of embedded options, including downside exposure to the worst-performing index and the call feature.

The estimated value is derived from Citigroup’s proprietary pricing models and internal funding rates and does not represent an actual profit or a guaranteed resale price. The filing warns of a likely wide bid-ask spread and limited liquidity, implying investors may face substantial markdowns if selling before maturity. Additional valuation details are available in the "Valuation of the Securities" section of the pricing supplement.

Distribution Fees Include Structuring and Marketing Costs

The distribution fee structure includes no traditional underwriting fee to Citigroup Global Markets Inc. (CGMI), but selected dealers receive up to $5.00 per security as a structuring fee. Additional marketing, education, structuring, or referral service providers may be paid up to $5.00 per security. Electronic platform providers may also receive up to $1.50 per security when utilized.

Combined, these fees can total up to $11.50 per security (1.15% of principal), embedded in the product economics. The filing notes CGMI and affiliates may profit from hedging activities related to the offering, even if the securities’ value declines, indicating issuer profits stem from volatility management rather than price appreciation.

Valuation Dates Span Over Three Years Through July 30, 2029

The notes feature 37 valuation dates starting August 28, 2026, and ending July 30, 2029, with monthly and quarterly schedules subject to postponement for non-trading days or market disruptions. Coupon payments are made three business days after each valuation date, except the final payment, which occurs on maturity, August 2, 2029.

This frequent valuation schedule increases the likelihood that the worst-performing index breaches the coupon barrier at least once, potentially causing coupon forfeitures. The roughly monthly spacing creates multiple opportunities for market conditions to impact coupon eligibility.

Full Payment Guarantee by Citigroup Inc. with Credit Risk Considerations

All payments on the notes are fully and unconditionally guaranteed by Citigroup Inc., the parent company of the issuer. This guarantee covers contingent coupons, final coupons, and principal payments. However, investors remain exposed to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. Defaults by these entities would result in loss of payments.

While the guarantee offers greater security compared to lower-rated issuers, it does not eliminate counterparty risk. The guarantee ranks below secured debt and regulatory capital in bankruptcy or resolution scenarios, meaning investors may recover funds only after higher-priority claims are satisfied.

Additional Terms Governed by Registration and Index Supplements

The filing incorporates by reference Product Supplement No. EA-04-12, Underlying Supplement No. 13, and Prospectus Supplements all dated February 25, 2026. The offering is registered with the SEC under Registration Statement Nos. 333-293732 and 333-293732-02.

This preliminary pricing supplement, dated July 23, 2026, is subject to change and incomplete. Final terms, including exact coupon rates, total offering size, and pricing, will be disclosed at launch. Investors should review all related documents before investing.

Liquidity and Redemption Risks Highlighted for Investors

The notes will not be listed on any securities exchange, resulting in no public secondary market. Investors must accept limited or no liquidity. The estimated value discount reflects the market’s assessment of illiquidity costs. Early exit attempts may incur significant price markdowns.

Risk disclosures emphasize that these securities carry risks beyond conventional debt, including potential total loss of coupons if barriers are breached, principal erosion if the worst-performing index falls sharply, and severely constrained exit options. Investors accept these elevated risks in exchange for the possibility of enhanced coupon payments.