Citigroup Unveils Autocallable Equity-Linked Notes Linked to Space Exploration Technologies Stock

Contingent Coupon Structure and Terms

These securities provide quarterly contingent coupon payments contingent on Space Exploration Technologies Corp.'s stock performance. On each coupon payment date, investors receive 5.75% of the principal if the underlying’s closing price on the prior valuation date is at or above the coupon barrier of $61.77. If the closing price falls below this threshold, no coupon is paid for that period, creating a binary coupon payment outcome each quarter.

Valuation dates occur quarterly on October 21, 2026; January 21, April 21, July 21, and October 21, 2027; January 21, April 21, July 21, and October 23, 2028; January 22, April 23, and the final valuation on July 23, 2029. Coupon payments are made three business days after each valuation date, except the final payment, which is paid on maturity if earned. This allows for up to thirteen contingent coupon payments over the approximately three-year term, subject to meeting performance conditions.

Automatic Early Redemption and Return Caps

A key feature is the automatic early redemption triggered if the underlying’s closing price on any autocall date equals or exceeds the initial value of $123.54. In such cases, securities are redeemed at $1,000 plus the accrued contingent coupon. Autocall dates start January 21, 2027, six months after issuance, and continue on ten subsequent valuation dates through April 23, 2029.

This early redemption mechanism limits upside potential, as investors will not benefit from further gains beyond principal plus accrued coupons if the stock performs well enough to trigger a call. Thus, investors’ participation in positive stock appreciation is capped, while downside risk below the coupon barrier remains fully exposed.

Maturity Payoff and Downside Exposure

If not called early, at maturity investors receive $1,000 per security if the final underlying price is at or above the final barrier of $61.77. If below this level, the payoff equals $1,000 multiplied by the ratio of the final underlying price minus the initial price ($123.54) over the initial price, exposing investors to substantial losses. A 50% or greater decline in the stock price results in a significant principal loss, potentially reducing the maturity payment to zero if the price falls to $61.77 or lower.

No contingent coupon is paid on the maturity date if the final underlying value is below the barrier, further reducing total returns. This structure exposes investors to amplified downside risk relative to the underlying stock’s performance.

Pricing and Valuation Insights

Citigroup Global Markets Holdings Inc. estimates the securities’ value on the July 22, 2026 pricing date at a minimum of $893.50 per unit, considerably below the $1,000 issue price. This valuation is based on proprietary pricing models and internal funding rates and does not represent a profit estimate or secondary market price indication.

The issue price includes a $23.50 underwriting fee, resulting in net proceeds of $976.50 per security to the issuer. For fee-based advisory accounts, the issue price is $976.50, eliminating the explicit underwriting fee. Additionally, Citigroup and affiliates may profit from hedging activity related to the offering, potentially creating conflicts of interest if the securities’ value declines post-issuance.

Credit and Liquidity Risks

Payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. (issuer) and Citigroup Inc. (guarantor). While Citigroup Inc. fully guarantees payments, investors bear counterparty risk that both entities remain solvent throughout the three-year term. Default risk could result in loss of all payments.

The securities will not be listed on any exchange, leading to significant liquidity constraints. Investors must be prepared for limited or no secondary market availability, potentially facing steep discounts or inability to sell before maturity. The lack of exchange listing removes transparent pricing and continuous trading benefits.

Underlying Asset Metrics and Valuation Benchmarks

Space Exploration Technologies Corp. stock is the underlying asset, with an initial value of $123.54 on July 21, 2026. Both coupon and final barrier values are set at 50% of this, or $61.77. Investors receive contingent coupons only if the stock remains above this barrier on each quarterly valuation date, and face principal losses if the final price falls below it.

The underlying return calculation for maturity payment uses the formula: (final underlying price – initial price) / initial price. A decline below the barrier proportionally reduces principal, with a 50% drop to $61.77 resulting in total principal loss at maturity.

Yield Comparison and Risk-Return Profile

These securities offer higher potential yields than comparable conventional Citigroup debt maturing in three years. Receiving all thirteen contingent coupons yields an annualized 23.00%, significantly above typical debt yields. However, actual returns may be lower if coupons are missed due to performance shortfalls.

The 5.75% quarterly coupon rate reflects the embedded risks: principal loss, limited liquidity, early redemption capping gains, and contingent coupon payments. To achieve superior returns, the underlying must stay above $61.77 on all valuation dates and decline less than 50% overall. Investors do not receive dividends or benefit from stock appreciation above the autocall level.

Regulatory Filings and Disclosure

Registration statements 333-293732 and 333-293732-02 have been filed with the SEC for these securities. The pricing supplement, filed under Rule 424(b)(2), is preliminary and subject to change from the July 22, 2026 version. Accompanying documents include product supplement EA-04-12 and prospectus supplements dated February 25, 2026.

The SEC and state regulators have neither approved nor disapproved the securities or verified the completeness of the documents. The securities are not bank deposits and lack FDIC or government insurance.

Use of Proceeds and Distribution Details

After deducting the $23.50 underwriting fee, Citigroup Global Markets Holdings Inc. will receive $976.50 per security sold. Additionally, up to $1.00 per security may be paid to electronic platform providers involved in distribution. The underwriting fee is variable, so total proceeds and fees may adjust based on sales outcomes.

Citigroup Global Markets Inc., acting as principal and underwriter, may profit from hedging activities related to this offering, which could create conflicts between underwriter and investor interests.