Citigroup Launches Barrier Notes Tied to S&P 500 Futures Index Featuring 260% Upside Participation

Barrier Notes Structure and Payment Terms

These Medium-Term Senior Notes from Citigroup Global Markets Holdings Inc. are complex structured products differing from traditional bonds. Instead of fixed interest and principal repayment, maturity payments depend on the S&P 500 Futures 35% Edge Volatility 6% Decrement Index’s performance. Investors receive no periodic interest, and principal repayment is contingent on the index’s final valuation.

At maturity, three scenarios apply: if the final index value exceeds the initial, investors receive $1,000 plus 260% of the index’s positive return; if the final value is at or above 50% of the initial but below the initial value, investors receive the full $1,000 principal; if the index closes below the 50% barrier, investors incur full downside exposure, receiving $1,000 plus the full negative return with no principal protection, risking substantial or total loss.

Index Details and Associated Risks

The notes are linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index, which tracks S&P 500 futures contracts rather than the cash index itself. The index carries significant structural risks, including a 6% annual decrement that reduces performance over the five-year term.

The underlying S&P 500 Futures Excess Return Index tends to underperform the traditional S&P 500 Index due to embedded financing costs in futures contracts. The 35% edge volatility feature introduces leveraged exposure to index declines. Investors are urged to carefully review the risk factors related to index structure and potential underperformance versus the cash S&P 500 Index.

Credit Risk and Guarantee Information

Payments on the notes are fully and unconditionally guaranteed by Citigroup Inc., the issuer’s parent company. Investors’ recovery depends on Citigroup Inc.’s creditworthiness. Both Citigroup Global Markets Holdings Inc. and Citigroup Inc. credit risks apply, emphasizing counterparty risk.

The notes are not bank deposits and are not insured by the FDIC or any government agency. The Citigroup Inc. guarantee is the sole credit protection, making the parent company’s financial strength a critical factor for investors.

Upside Participation and Return Features

Investors benefit from a 260% upside participation rate, meaning every 1% increase in the underlying index yields a 2.6% return on the $1,000 principal. This enhanced participation compensates for structural features such as no dividend payments and contingent principal repayment.

The 260% participation applies only to positive returns above the initial index value; no additional gains accrue for modest appreciation. Investors must accept forfeiture of dividends in exchange for this modified exposure.

Barrier Protection and Downside Risk

The 50% barrier level offers conditional principal protection. If the final index value remains at or above this level, investors receive the full $1,000 principal despite any losses. However, if the index falls below 50% of its initial value, principal protection is lost, and investors face full downside exposure, losing 1% of principal for every 1% decline below the initial index value. A 50% or greater decline could result in total loss.

Key Dates and Valuation Methodology

The notes have a pricing date of August 4, 2026, an issue date of August 7, 2026, and mature on August 7, 2031, establishing a five-year term. The final index value used for payment calculation is determined on August 4, 2031, subject to postponement for market disruptions.

The initial index value is the closing level on the pricing date, and the final index value is the closing level on the valuation date. The barrier is set at 50% of the initial index value. These definitions are essential for understanding payment calculations.

Pricing, Underwriting Fees, and Distribution Details

The notes are issued at $1,000 each with a $50 underwriting fee. Citigroup Global Markets Inc. acts as underwriter and principal, purchasing notes at a discount and reselling at full price. Total underwriting fees and proceeds were not disclosed.

Citigroup and affiliates may profit from hedging activities related to the offering, regardless of note value fluctuations. Additionally, electronic platform providers receive $1.50 per note sold through selected dealers or custodians. The notes will not be exchange-listed, limiting liquidity. The CUSIP is 17334CBV5 and ISIN US17334CBV54.

Estimated Value and Market Pricing Considerations

Citigroup estimates the notes’ value at pricing to be at least $850 per note, significantly below the $1,000 issue price, reflecting a $150 premium over intrinsic value. This estimate is based on proprietary pricing models and internal funding rates.

The estimated value is not a profit indicator for Citigroup nor a reliable secondary market price. Investors should not rely on it for trading decisions due to typically wide bid-ask spreads and limited liquidity.

Dividend Forfeiture and Index Underperformance Risks

Investors will not receive dividends from the underlying index, a key consideration compared to direct S&P 500 investments where dividends contribute materially to returns. The underlying futures index is expected to underperform the cash S&P 500 due to financing costs and the 6% annual decrement, which compounds over five years, imposing significant return headwinds.

Investors should thoroughly review risk disclosures related to dividend forfeiture and structural underperformance before investing.

Liquidity Limitations and Suitability Warnings

The notes are not listed on any exchange, resulting in limited or no liquidity. Secondary sales require bilateral negotiation or over-the-counter transactions, often at unfavorable prices and wide spreads. Investors must be prepared to hold to maturity.

Illiquidity complicates early exit, with potential sales below estimated or intrinsic values. The absence of transparent pricing makes valuation challenging, underscoring suitability primarily for investors with long-term horizons.

Regulatory Filings and Disclosure Obligations

The pricing supplement is preliminary, filed under Rule 424(b)(2) of the Securities Act of 1933, referencing registration numbers 333-293732 and 333-293732-02. The SEC and state regulators have not approved or disapproved the securities or verified the supplement’s accuracy. Any contrary claim is a criminal offense.

Investors should review this supplement alongside product supplement EA-02-12, underlying supplement 13, and the prospectus documents dated February 25, 2026, which provide detailed disclosures on index valuation, market disruption adjustments, and the S&P 500 Index foundation. Comprehensive review of all materials is essential before investing.