Citigroup Launches Buffered Equity Index Basket-Linked Notes Featuring 17.5% Downside Protection and Up to 34.58% Returns

Structured Notes Offering Multi-Index Global Exposure

Citigroup Global Markets Holdings Inc. has structured these equity-linked notes to track the combined performance of five major international stock indices. The basket is heavily weighted toward European and Japanese equities, with the EURO STOXX 50 accounting for 40% and the TOPIX Index 25%. The filing highlights that the EURO STOXX 50, TOPIX, and FTSE 100 indices dominate return influence, collectively representing 82% of the basket, while the Swiss Market Index and S&P/ASX 200 contribute the remaining 18%.

Basket performance is measured from the trade date to the determination date, expected 24 to 27 months post-issuance. The initial basket level is standardized at 100.00, calculated based on the weighted initial index levels. Final basket value is derived by aggregating each index's performance weighted accordingly, providing a blended exposure across all five markets.

Upside Participation with Return Caps

Investors benefit from 180% participation in positive basket returns, subject to a capped maximum settlement amount estimated between $1,293.94 and $1,345.78 per $1,000 principal. This means for every 1% gain in the basket, investors realize a 1.8% return up to the cap. The capped return range of 29.394% to 34.578% limits upside despite the enhanced participation rate, defining the maximum payout at maturity.

The notes do not pay interest or dividends from the underlying indices, with all returns stemming solely from basket appreciation. This trade-off forgoing income is balanced by the elevated 180% participation rate, exceeding the typical one-to-one exposure seen in many indexed notes.

Downside Buffer and Loss Exposure

A key feature is the 17.50% downside buffer, shielding investors from losses if the basket declines by up to 17.50% from inception. If the final basket level remains between 82.50% and 100% of the initial level, investors receive full principal back with no loss. This buffer cushions against moderate market downturns.

Losses amplify once declines surpass the 17.50% buffer. For every 1% drop beyond this threshold, investors lose approximately 1.2121% of principal. For example, a 20% basket decline results in a loss exceeding 3.6%, while a 30% decline approaches a 15.8% loss of principal. The notes carry the risk of total principal loss if the basket falls sufficiently, with the filing warning, "You could lose your entire investment in the notes."

Issuer Credit Risk and Guarantees

Payments on the notes are unsecured senior debt obligations of Citigroup Global Markets Holdings Inc., fully and unconditionally guaranteed by Citigroup Inc. Investors bear credit risk of both entities; default by either could result in loss of principal and returns regardless of basket performance.

These notes are not insured by the Federal Deposit Insurance Corporation nor guaranteed by any government agency, and do not constitute bank deposits. Repayment depends solely on Citigroup's creditworthiness, representing a distinct risk separate from market exposure.

Liquidity and Secondary Market Limitations

The notes are not listed on any exchange and are expected to have limited or no liquidity in secondary markets. Unlike exchange-traded funds or notes, these structured products lack continuous trading, potentially making early exit challenging with wide bid-ask spreads.

Citigroup Global Markets Inc., an affiliate of the issuer, acts as underwriter and may provide market-making post-issuance, but no guarantees exist regarding trading availability or pricing. The preliminary pricing supplement, marked "Subject to Completion," indicates final terms and underwriting details may change before closing.

Valuation and Issue Price Details

The filing estimates the notes’ value at trade date between $978.50 and $998.50 per $1,000 note, below the issue price. This reflects embedded costs for upside participation, downside buffer, and hedging expenses. Investors buying at $1,000 face an immediate mark-to-market loss of $1.50 to $21.50 before any index movement.

Hedging and Affiliate Profit Disclosure

Citigroup Global Markets Inc. and affiliates may profit from hedging activities related to this offering, independent of note performance. As underwriter, Citigroup hedges index and interest rate risks, potentially generating affiliate profits beyond underwriting fees. Investors should be aware that Citigroup’s financial incentives may not align with investor outcomes, especially amid volatile index movements.

Basket Composition and Concentration Risks

The basket is concentrated in developed European equities, with 57% exposure to EURO STOXX 50 (40%) and FTSE 100 (17%), and 25% to Japanese TOPIX. The Swiss Market Index (11%) and S&P/ASX 200 (7%) have smaller influence. Currency risk from euro and British pound sterling fluctuations adds complexity beyond equity market risk.

Risks and Contingent Events

The filing references additional risk factors and market disruption contingencies detailed in the accompanying product supplement, including potential impacts from market closures, index suspensions, or modifications. Investors should review all related supplements and the prospectus before investing.

This preliminary pricing supplement, dated July 20, 2026 and "Subject to Completion," is filed under Rule 424(b)(2) pursuant to Registration Statement Nos. 333-293732 and 333-293732-02. All documentation is available via the SEC’s EDGAR system or through Citigroup Global Markets Inc.