Citigroup Prices Callable Five-Year Equity-Linked Securities Featuring Contingent Coupons Based on Three Key Market Indices

Product Structure and Index Performance Mechanics

The securities are medium-term senior notes issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by the parent company. Investor returns are linked to the worst-performing of three prominent U.S. equity indices: the Dow Jones Industrial Average, the Russell 2000 Index, and the S&P 500 Index. This "worst-of" feature means that performance is determined solely by the index with the lowest return, regardless of how the other two perform. The securities were priced on July 29, 2026, with an issue date of August 3, 2026, at a principal amount of $1,000 per security.

The contingent coupon payments are scheduled monthly from August 31, 2026, through April 29, 2031, totaling 40 valuation dates. On each date, the closing value of the worst-performing index is compared to a coupon barrier set at 75% of its initial value. If the index closes at or above this barrier, investors receive a contingent coupon payment equal to at least 0.7917% of principal on the payment date. If the index falls below 75%, no coupon is paid for that period.

Maturity Payment and Principal Protection

At maturity on May 2, 2031, or upon earlier call redemption, principal repayment depends on the final valuation on April 29, 2031. If the worst-performing index closes at or above 60% of its initial value, investors receive the full $1,000 principal plus any final contingent coupon. This 60% threshold offers partial principal protection, allowing recovery of full principal despite up to a 40% decline in the worst-performing index over five years.

If the worst-performing index closes below 60%, the principal repayment is reduced proportionally based on the index’s return, potentially resulting in significant losses or even zero return if the index declines drastically. Investors also forfeit any contingent coupon payment at maturity if the final index value is below this barrier, highlighting the tradeoff for higher coupon potential.

Pricing and Valuation Methodology

Citigroup disclosed an estimated value of at least $926.00 per security at pricing, representing a 7.4% discount to the $1,000 issue price. This estimate is derived from proprietary pricing models and internal funding rates and does not reflect a guaranteed profit or secondary market price. The discount accounts for embedded risks, including the cost of the call option and downside equity exposure.

Valuation assumptions include implied volatility, interest rates, dividend yields, and correlations among the three indices. The internal funding cost used is generally lower than external hedging costs, and secondary market prices may vary significantly from both the issue price and estimated value, depending on market conditions and remaining coupon payments.

Contingent Coupon Payment Conditions and Barrier Monitoring

The contingent coupon rate is approximately 9.50% annually if all payments are made, which is substantially higher than typical five-year senior debt yields of comparable credit quality. To earn these coupons, the worst-performing index must remain at or above 75% of its initial value on each of the 40 monthly valuation dates. A breach on any date results in no coupon payment for that period, imposing ongoing monitoring risk.

The "worst-of" structure creates asymmetric payoffs: a sharp decline in any one index below the coupon barrier causes all investors to lose the coupon for that period, regardless of other indices’ performance. This concentration risk is explicitly highlighted, and investors will not receive dividends or benefit from index appreciation beyond the final maturity payment.

Issuer Credit Risk and Guarantee Details

All payments are fully and unconditionally guaranteed by Citigroup Inc., exposing investors to credit risk of both the issuer subsidiary and parent company. In the event of default by either, investors may not receive scheduled coupons, maturity payments, or redemption proceeds. These securities are unsecured debt obligations without collateral or priority claims.

The securities are not insured by the FDIC or any government agency and are not bank deposits despite being issued by a Citigroup subsidiary. Investors must assess Citigroup Inc.’s creditworthiness at pricing and monitor it during the five-year term, as credit deterioration could adversely affect secondary market pricing.

Redemption Rights and Call Risk

Citigroup may call the securities for mandatory redemption in full on any redemption date with at least three business days’ notice. While exact call dates are not specified, the call right allows Citigroup to redeem early, paying $1,000 plus any due coupon. This benefits the issuer by enabling termination if market conditions improve or if the securities become in-the-money.

For investors, call risk means that if the worst-performing index performs well, Citigroup could redeem early and cut off future attractive coupons. Conversely, poor index performance reduces call risk but exposes investors to principal losses at maturity. This asymmetry favors Citigroup and may result in profits for the issuer and affiliates from hedging activities even if the securities’ value declines.

Distribution and Fee Structure

Citigroup Global Markets Inc. serves as principal underwriter with no stated underwriting discount but pays selected dealers up to $5.00 per security in structuring fees. Service providers assisting with marketing, education, structuring, or referrals may receive up to $5.00 per security, and electronic platform providers may receive up to $1.50 per security when platforms are used by dealers or custodians. These fees reduce net proceeds or increase costs to investors.

The distribution network includes traditional dealers and electronic platforms, aiming to reach retail and institutional investors via financial advisors and custodial platforms. Maximum aggregate fees could total $11.50 per security, further lowering the effective value relative to the $1,000 issue price.

Liquidity and Secondary Market Risks

The securities will not be listed on any exchange, resulting in no formal public trading market or continuous liquidity. Investors must accept potentially limited or no liquidity, making early sales difficult or requiring significant discounts. The lack of transparent pricing complicates accurate valuation.

Secondary market trades, if available, would be over-the-counter at dealers’ discretion and pricing. The estimated $926.00 value at pricing is non-binding, and Citigroup disclaims any obligation to repurchase at that price. This illiquidity poses a material risk for investors needing to exit before maturity.

Index Details, Dividend Policy, and Market Exposure

The underlying indices cover broad U.S. equity market segments: Dow Jones Industrial Average (30 large-cap blue-chip stocks), S&P 500 Index (500 large- and mid-cap stocks), and Russell 2000 Index (approximately 2,000 small-cap stocks). Linking returns to the worst-performing index provides broad but asymmetric exposure, potentially increasing volatility risk if the small-cap Russell 2000 underperforms.

Investors will not receive dividends from any underlying index nor participate in appreciation beyond maturity payments. This limits yield compared to direct index investments with dividend reinvestment and exposes investors fully to downside losses if the worst-performing index falls below the 60% final barrier.

Regulatory Status and Compliance

The pricing supplement is filed under SEC Rule 424(b)(2) referencing registration numbers 333-293732 and 333-293732-02, confirming registration under the Securities Act of 1933 for a public offering. Marked "SUBJECT TO COMPLETION, DATED JULY 23, 2026," final terms and fees may be updated before issuance. Investors should review the product supplement, underlying supplement, prospectus supplement, and base prospectus thoroughly to understand all terms and risks.

The SEC disclaimer notes the Commission and state securities regulators have neither approved nor disapproved the securities nor confirmed the accuracy or completeness of the materials. This standard caution urges investors to conduct independent analysis. The securities are not bank deposits and lack FDIC or government insurance.