Citigroup Issues $10 Million Contingent Income Auto-Callable Securities Linked to QQQ Trust Performance

Security Structure and Coupon Mechanics

The disclosed pricing supplement outlines a complex security structure designed to provide enhanced yield in exchange for principal-at-risk exposure. The aggregate stated principal amount totals $10,000,000, divided into 10,000 securities with a $1,000 stated principal amount per security. The issue price per security is $1,000.00, with an underwriting fee of $0.50 per security and proceeds to the issuer of $999.00 per security, according to the filing. The estimated value of the securities on the pricing date was $995.70 per security based on Citigroup Global Markets Inc.'s proprietary pricing models, indicating that the securities traded below their issue price at launch.

Monthly contingent coupon payments are structured at 1.25 percent of stated principal per month, equaling a 15.00 percent annualized rate if all payments are received. However, investors receive these payments only if the closing price of the underlying Invesco QQQ Trust shares remains greater than or equal to the downside threshold price of $588.166, which represents 85.00 percent of the initial share price of $691.96 established on the strike date of July 23, 2026. If the QQQ Trust shares close below this threshold on any monthly valuation date, the contingent coupon payment is forfeited entirely on that date.

Memory Coupon Feature and Payment Recovery Mechanism

The securities incorporate a memory coupon feature that allows investors to recover previously missed contingent coupon payments under specific conditions. According to the disclosure, if the underlying share price drops below the downside threshold price on one or more valuation dates and subsequently recovers to equal or exceed the downside threshold price on a later valuation date, the contingent coupon payment for that subsequent date will include all previously unpaid monthly contingent coupon payments without interest on the deferred amounts. This mechanism provides a pathway for investors to recoup missed payments if market conditions improve.

The filing emphasizes, however, that this recovery is not guaranteed. If the closing price of the underlying shares remains below the downside threshold price on any valuation date and on each subsequent valuation date thereafter through maturity, investors will not receive any of the previously unpaid contingent coupon payments. The memory coupon feature thus creates a conditional obligation that depends entirely on the sustained performance of the QQQ Trust shares above the 85 percent threshold throughout the security's one-year term.

Automatic Early Redemption Trigger

The securities contain an automatic early redemption feature that begins approximately one month after the issue date. The filing states that if on any potential redemption date (scheduled for approximately monthly intervals beginning August 24, 2026) the closing price of the underlying QQQ Trust shares is greater than or equal to the initial share price of $691.96, each security will be automatically redeemed on the related contingent coupon payment date. Upon early redemption, investors receive the stated principal amount of $1,000 per security plus the related contingent coupon payment, including any previously unpaid monthly contingent coupon payments accrued up to that redemption date.

This early redemption feature creates an asymmetric payoff structure for investors. Should the QQQ Trust appreciate significantly from its initial price level, securities are called away, capping the investor's upside participation. Conversely, if QQQ Trust shares decline, the securities remain outstanding, exposing investors to further downside risk. The filing notes that this means investors accept the risks of downside participation without the benefit of upside appreciation in the underlying shares or receipt of any dividends paid on those shares.

Principal-at-Risk Payment at Maturity

The filing discloses two distinct payment scenarios at maturity on July 29, 2027, contingent on the final share price of the QQQ Trust shares measured on the final valuation date of July 26, 2027. If the final share price is greater than or equal to the downside threshold price of $588.166, investors receive the stated principal amount of $1,000 plus the contingent coupon payment due at maturity, including any previously unpaid monthly contingent coupon payments. This scenario preserves full principal and allows for coupon recovery.

If, however, the final share price falls below the $588.166 downside threshold, the payment at maturity is reduced according to a formula disclosed in the pricing supplement. Investors receive $1,000 plus [$1,000 multiplied by the buffer rate of 15.00 percent multiplied by (the share return plus the buffer amount)]. The filing warns explicitly that if the final share price is below the downside threshold, investors will receive less, and possibly significantly less, than the stated principal amount and will not receive any contingent coupon payment at maturity. In extreme scenarios where the QQQ Trust declines substantially, the final payment could approach zero.

Valuation Timeline and Scheduled Payment Dates

The disclosure provides a detailed schedule of valuation dates, potential redemption dates, and contingent coupon payment dates spanning the one-year term from issue through maturity. Monthly valuation dates begin on August 24, 2026, and continue on approximately the 24th to 26th of each month through the final valuation date on July 26, 2027. Contingent coupon payment dates are scheduled approximately three business days following each valuation date, beginning August 27, 2026, and ending on the maturity date of July 29, 2027. The filing notes that each valuation date is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur.

This monthly schedule means investors face 12 decision points at which the contingent coupon payment eligibility is determined based on QQQ Trust performance. The staggered payment dates provide Citigroup Global Markets with operational flexibility while requiring investors to monitor the underlying index performance on each scheduled date. The filing indicates that potential early redemption dates are aligned with the monthly valuation dates through the life of the securities, creating multiple opportunities for automatic early redemption if the QQQ Trust appreciates above the initial share price.

Credit Risk and Guarantor Obligations

The filing discloses that the securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company. The disclosure emphasizes that all payments on the securities are subject to the credit risk of both the issuer and the guarantor, and investors face the risk of not receiving any payments if either entity defaults on its obligations.

The pricing supplement clarifies that these securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of or guaranteed by a bank. This distinction is significant for investors accustomed to deposit insurance protections and reflects the nature of these instruments as structured debt securities rather than traditional bank products. Investors' recovery depends entirely on the creditworthiness of Citigroup Inc. and the issuer's ability to pay.

Underwriting and Pricing Concessions

The filing discloses that Citigroup Global Markets Inc., an affiliate of the issuer, acts as the principal underwriter and will receive an underwriting fee of $0.50 for each $1,000 security sold. Additionally, selected dealers, including Morgan Stanley Wealth Management, and their financial advisors will collectively receive a fixed selling concession of $0.50 for each $1,000 security sold. The filing also reveals that Citigroup Global Markets Inc. will pay a structuring fee of $0.50 for each security to Morgan Stanley Wealth Management, reflecting arrangements between the parties involved in bringing the offering to market.

The disclosure notes that it is possible that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines after issuance. The estimated value of the securities at $995.70 per security on the pricing date was less than the $1,000 issue price, according to the filing. The disclosure states this estimated value is based on the underwriter's proprietary pricing models and internal funding rate and is not an indication of actual profit to Citigroup or an indication of the price at which the underwriter or any other person may be willing to purchase the securities from investors after issuance.

Investor Risk Considerations and Liquidity Constraints

The pricing supplement identifies several material risks that investors must accept. First, investors must be willing to accept that actual yield may be lower than comparable conventional debt securities of the same maturity because contingent coupon payments may not be received in full or at all. Second, actual yield may be negative if the payment at maturity is significantly less than the stated principal amount, potentially resulting in a total loss of investment. Third, the securities may be automatically redeemed prior to maturity beginning approximately one month after issuance, which could occur at inopportune times and cap investment returns.

The filing also stresses that investors must be willing to accept an investment that may have limited or no liquidity, as the securities will not be listed on any securities exchange. This lack of listing means investors cannot readily sell the securities in a secondary market and must hold them until maturity, early redemption, or default. Combined with the principal-at-risk structure and complex contingent payment mechanics, this liquidity constraint presents significant considerations for investors evaluating suitability and holding requirements.

Underlying Index Performance and Downside Participation

The securities are based on the performance of the Invesco QQQ Trust shares, which track the Nasdaq-100 index and provide concentrated exposure to technology, internet, and growth companies. The initial share price of $691.96 is locked as the strike date closing price on July 23, 2026. The downside threshold price of $588.166 represents a 15.00 percent decline from the initial price, meaning the QQQ Trust can decline up to 15 percent without immediately triggering loss of contingent coupon payments on subsequent valuation dates.

The filing is explicit that although investors are exposed to downside risk with respect to the underlying shares, they will not participate in any appreciation of the underlying shares or receive any dividends paid on those shares. This structure creates an unfavorable risk-return asymmetry: investors absorb losses if QQQ shares decline while forfeiting upside gains if they appreciate beyond the initial share price due to the automatic early redemption feature. The buffer amount of 15.00 percent at maturity provides additional cushion against total loss only if the final share price remains above the downside threshold, but offers no protection if that threshold is breached.

Registration and Compliance Status

The filing is made pursuant to Rule 424(b)(2) of the Securities Act of 1933 and is based on Registration Statement Nos. 333-293732 and 333-293732-02. The pricing supplement incorporates by reference the Product Supplement No. EA-04-12 dated February 25, 2026; Underlying Supplement No. 13 dated February 25, 2026; and Prospectus Supplement and Prospectus each dated February 25, 2026. These accompanying documents provide additional detail on the product structure, the underlying index, and general Citigroup debt security offerings.

The disclosure includes the SEC's standard disclaimer that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that the pricing supplement and accompanying documents are truthful or complete. The filing notes that any representation to the contrary is a criminal offense. Investors are advised to read the pricing supplement together with all accompanying documents to fully understand the securities' terms, risks, and structural features before making an investment decision.