Citigroup Launches Autocallable Barrier Securities Linked to S&P 500 Equal Weight Index Maturing in 2031

Structure and Automatic Early Redemption Feature

Citigroup Global Markets Holdings Inc. is offering securities with an autocallable structure that allows for early redemption at a premium under defined conditions. If the S&P 500 Equal Weight Index closes at or above its initial value on the July 30, 2027 valuation date, the securities will automatically redeem at $1,000 plus a 9.70% premium. This feature targets investors seeking limited-term exposure with defined upside potential. Redemption occurs on the third business day after the qualifying valuation date, after which investors no longer participate in further index gains.

This early redemption alters the risk-return profile compared to traditional debt. The premium at the first valuation date may be significantly less than the index’s actual appreciation from pricing to that date, meaning investors might not fully capture strong market gains. If not redeemed early, the securities remain outstanding until maturity, but the elevated premium opportunity expires.

Downside Exposure and Barrier Protection

The securities carry significant downside risk distinct from conventional bonds. Investors bear full losses if the index falls below an 80% barrier at maturity, losing 1% of principal for every 1% drop below the initial index value. The filing warns investors "may lose a significant portion, and up to all, of your investment" under adverse market conditions.

If the index finishes between the initial level and the 80% barrier, investors receive full principal repayment but no participation in index gains. Should the index close at or above the initial value at maturity, investors receive $1,000 plus 150% of the index appreciation, applicable only if held to maturity. No dividends from the index constituents are passed to investors.

Valuation and Estimated Security Price

Citigroup Global Markets Holdings Inc. disclosed its proprietary valuation approach, estimating the securities’ value at a minimum of $915.00 per unit on the July 23, 2026 pricing date, below the $1,000 issue price. This $85 discount reflects embedded features such as the automatic redemption and structural complexity. The valuation is based on Citigroup’s internal pricing models and funding rates.

The issuer clarifies this estimated value does not represent actual profit nor the price at which the securities might be repurchased post-issuance. Investors are referred to the "Valuation of the Securities" section in the pricing supplement for detailed methodology.

Underwriting and Distribution Fees

Citigroup Global Markets Inc., as principal underwriter, will earn $22.00 per security sold, resulting in net proceeds of $978.00 per unit to the issuer. Selected non-affiliated dealers receive a $20.00 selling concession plus up to $2.00 structuring fee per security sold. Additional profits may be generated by Citigroup affiliates through hedging activities, regardless of post-issuance security value changes.

Fees are also paid to electronic platform providers facilitating sales through selected dealers and custodians. The disclosed proceeds assume maximum underwriting fees, acknowledging variability. This multi-layered fee structure ultimately increases costs borne by investors through the spread between issue price and estimated value.

Credit Risk and Guarantee Details

The securities are unsecured obligations of Citigroup Global Markets Holdings Inc., a wholly owned Citigroup Inc. subsidiary, with payments fully and unconditionally guaranteed by Citigroup Inc. Investors bear credit risk of both entities, facing counterparty risk linked to their financial health. The filing warns investors may receive no payments if either entity defaults.

These are not bank deposits and lack FDIC or government insurance. The Citigroup Inc. guarantee enhances credit strength but depends on its ability and willingness to meet obligations. Additional credit risk disclosures are provided in the product supplement, prospectus supplement, and prospectus.

Liquidity and Secondary Market Limitations

The securities will not be listed on any exchange, limiting liquidity compared to conventional debt or equity. Investors must accept "limited or no liquidity," potentially facing difficulty selling before maturity or receiving prices below estimated or purchase values.

The lack of exchange listing and uncertain liquidity heighten valuation risks. Early exit would require negotiation with Citigroup or other parties, with no guarantee of a willing buyer. These features make the securities unsuitable for investors needing short-term access or portfolio flexibility.

Index Reference and Key Terms

The securities track the S&P 500 Equal Weight Index, with the initial underlying value set at the closing index level on July 23, 2026. The final underlying value is the closing level on July 23, 2031, subject to postponement for non-trading days or market disruptions. The valuation method depends on index closing values and adjustments for disruptions, detailed in accompanying supplements.

Return is calculated as (final underlying value - initial underlying value) divided by initial underlying value. Minor differences in closing value determination or adjustments can materially impact returns. Investors should consult product and underlying supplements for full index calculation and disruption event details.

Comparison with Traditional Debt and Risk Profile

These securities differ substantially from conventional bonds, lacking periodic interest payments, guaranteed principal repayment, and featuring automatic early redemption. Investors receive no income, only potential appreciation at maturity or early redemption premium. This appeals to those seeking capital gains and willing to forgo income, but diverges from bonds offering stable cash flows.

The filing highlights risks not present in traditional debt, including contingent principal repayment based on index performance, potential total loss if the index falls below the barrier, and absence of downside protection or income. Investors are directed to "Summary Risk Factors" in prospectus materials for comprehensive risk discussion. The risk profile aligns more with leveraged derivatives than typical debt, despite debt classification and Citigroup guarantee.

Pricing and Issuance Timeline

Pricing occurs on July 23, 2026, with issuance on July 28, 2026, allowing five days for regulatory and processing steps. Maturity is July 28, 2031, unless early redeemed, resulting in a five-year term if held to maturity. The first valuation date is July 30, 2027, triggering automatic redemption if index conditions are met. The final valuation date is July 23, 2031, with maturity redemption on July 28, 2031.

Valuation dates may be postponed for non-trading days or market disruptions, with definitions provided in supplements. Investors must commit for at least five years unless early redemption occurs, creating a fixed investment horizon.

Registration and Regulatory Filings

The preliminary pricing supplement, dated July 22, 2026, confirms registration with the SEC under file numbers 333-293732 and 333-293732-02. Filed under SEC Rule 424(b)(2), the document notes the SEC and state regulators have not approved or disapproved the securities nor verified disclosure accuracy, with criminal penalties for false claims.

Terms remain subject to change before finalization. The supplement is not an offer or solicitation where prohibited by law. Complete details are in the product supplement, underlying supplement, prospectus supplement, and prospectus dated February 25, 2026, which investors should review alongside this document.