Citigroup Issues $12 Million Auto-Callable Notes Linked to Nasdaq-100 Index Fund Through July 2027

Structure and Pricing of the Auto-Callable Securities

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued 12,000 contingent income auto-callable securities with an aggregate stated principal amount of $12 million and a per-security principal amount of $1,000. The securities were priced on July 20, 2026, with an issue date of July 23, 2026, and a maturity date of July 23, 2027, providing a one-year investment horizon. The underwriter, Citigroup Global Markets Inc. (CGMI), acting as principal, received an underwriting fee of $1.00 per $1,000 security, resulting in total underwriting fees of $12,000 and net proceeds to the issuer of $11,988,000. Selected dealers, including Morgan Stanley Wealth Management, were to receive a fixed selling concession of $0.50 per security from CGMI.

The pricing supplement disclosed that the estimated value of the securities at the issuance date was $997.10 per security, representing a discount to the $1,000 issue price. This valuation was based on CGMI's proprietary pricing models and internal funding rate, and the disclosure clarified that this estimate was not an indication of actual profit to CGMI or other affiliates, nor a commitment to purchase the securities from investors at any time after issuance. Additionally, Morgan Stanley Wealth Management received a structuring fee of $0.50 per security from CGMI. The securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc.

Monthly Coupon Payment Mechanism and Contingent Income Structure

The securities offer monthly contingent coupon payments on designated payment dates throughout the one-year term. On each monthly contingent coupon payment date, unless the securities have been previously automatically redeemed, investors will receive a contingent coupon equal to 1.4667% of the stated principal amount if and only if the closing price of the Invesco QQQ Trust shares on the related monthly valuation date is greater than or equal to the downside threshold price of $625.797, representing 90% of the initial strike price of $695.33. If the closing price falls below the downside threshold on any valuation date, no contingent coupon payment is made for that period. The disclosure indicates that if the underlying shares subsequently trade at or above the threshold after a missed payment, the contingent coupon for that subsequent valuation date will include all previously unpaid monthly contingent coupon payments without interest on the unpaid amounts.

The annualized coupon rate, if all monthly payments were received, would equal approximately 17.60%, representing a significant premium over conventional debt securities of the same maturity and credit quality. However, the pricing supplement emphasized that investors must accept the risk that actual yield may be lower than conventional debt because they may not receive one or more monthly contingent coupon payments depending on the underlying fund's performance. Monthly valuation dates were scheduled for August 20, 2026, and continuing on the twentieth or twenty-first of each subsequent month through July 20, 2027, the final valuation date. Contingent coupon payment dates follow three to five business days after each valuation date.

Automatic Early Redemption Features and Conditions

The securities include an automatic early redemption feature that may trigger beginning approximately one month after the issue date. On each potential redemption date, if the closing price of the underlying Invesco QQQ Trust shares is greater than or equal to the initial share price of $695.33, each security will be automatically redeemed on the related contingent coupon payment date for an early redemption payment equal to the stated principal amount of $1,000 plus the related contingent coupon payment, including any previously unpaid monthly contingent coupon payments. This feature means that investors have capped upside exposure — they do not participate in any appreciation of the underlying shares beyond the initial price level and cannot benefit from further gains.

The potential redemption dates are scheduled on the same dates as the valuation dates, beginning with August 20, 2026, and continuing through June 21, 2027. If the securities are automatically redeemed, no further payments will be made, and investors' capital will be returned along with any earned contingent coupons. Each valuation date is subject to postponement if such date is not a scheduled trading day for the underlying fund or if certain market disruption events occur, as described in the accompanying product and underlying supplements. The disclosure does not specify what constitutes a market disruption event or how such postponements would affect the payment schedule.

Principal-at-Risk Payout Structure at Maturity

If the securities are not automatically redeemed prior to maturity, the amount received at maturity on July 23, 2027, depends on the final share price of the Invesco QQQ Trust measured on the final valuation date of July 20, 2027. If the final share price is greater than or equal to the downside threshold price of $625.797, investors will receive the full stated principal amount of $1,000 per security plus any contingent coupon payments, including any previously unpaid monthly amounts. Conversely, if the final share price is less than the downside threshold price, the payment structure shifts to a principal-at-risk formula under which investors will receive $1,000 plus the result of $1,000 multiplied by the buffer rate of 10% multiplied by the sum of the share return plus the buffer amount of 10%.

This formula means that if the underlying fund declines in value, investors will receive less than the stated principal amount, potentially significantly less. For example, if the final share price declines 20% from the initial price, the calculation would yield a payment substantially below the principal amount, and investors would forfeit all contingent coupon payments, including any previously unpaid monthly amounts. The disclosure emphasizes that if the final share price is less than the downside threshold price, investors will not receive any contingent coupon payment at maturity, meaning the loss of principal combines with the loss of any accumulated but unpaid monthly income. The buffer structure provides some protection within a narrow range but does not protect against losses beyond that buffer.

Underlying Index Performance and Valuation Methodology

The securities are linked to the performance of the Invesco QQQ Trust, Series 1 (ticker symbol QQQ UQ), an exchange-traded fund that tracks the Nasdaq-100 Index, which consists of the 100 largest non-financial stocks listed on the Nasdaq Stock Market. The strike date, used to establish the initial share price, was July 17, 2026, on which the closing price of the underlying shares was $695.33. This price serves as the reference point for determining whether automatic early redemption occurs (if the price equals or exceeds $695.33 on subsequent valuation dates) and for calculating the downside threshold price of 90% ($625.797). The final share price, determined on July 20, 2027, will establish whether principal is at risk at maturity.

The pricing supplement disclosed that CGMI's estimated value of the securities was $997.10 per security as of the pricing date, compared to the $1,000 issue price, indicating that the securities were trading at a discount to par value immediately upon issuance. This valuation was based on CGMI's proprietary pricing models and internal funding rate. The disclosure specified that this estimated value was not an indication of actual profit to CGMI or its affiliates, nor was it a binding commitment to purchase the securities from investors at any subsequent time. The pricing methodology and assumptions underlying CGMI's valuation were not detailed in the pricing supplement, and investors were directed to the accompanying product supplement for additional information about valuation.

Liquidity Constraints and Market Risk Factors

The pricing supplement explicitly states that the securities will not be listed on any securities exchange, indicating that investors will face significant liquidity constraints. The disclosure advises investors that they must be willing to accept limited or no liquidity in the securities, meaning there may be no ready market for selling the securities prior to maturity or automatic early redemption. The only purchase option available in the primary market is through Citigroup Global Markets Inc. as the principal underwriter, and secondary market trading may be limited or unavailable at any time. This illiquidity risk is particularly significant for investors who may need to access their capital before maturity or before an automatic early redemption event occurs.

In addition to liquidity risk, all payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and its parent company, Citigroup Inc. The pricing supplement notes that investors are exposed to the risk of not receiving any payments due under the securities if either the issuer or guarantor defaults on its obligations. Although Citigroup Inc. fully and unconditionally guarantees all payments, the guarantee is only as strong as Citigroup Inc.'s creditworthiness, and any deterioration in the parent company's financial condition could affect the value and ultimate payment of the securities. The securities are not bank deposits, are not insured or guaranteed by the Federal Deposit Insurance Corporation, and are not obligations of or guaranteed by any bank, despite being issued through a Citigroup subsidiary.

Investor Limitations and Lack of Equity Participation

Although investors are exposed to downside risk with respect to the underlying Invesco QQQ Trust shares through the principal-at-risk structure, the securities specifically exclude investors from participating in any appreciation of the underlying shares beyond the initial share price level. If the QQQ Trust shares appreciate above $695.33, the securities will be automatically redeemed at par plus accumulated contingent coupons, capping the investor's gains. Conversely, if the shares decline, the investor's principal is at risk for losses. This structure represents a significant asymmetry — investors receive full downside risk but capped upside participation. Additionally, investors will not receive any dividends paid on the underlying shares, further limiting the economic benefit from holding the securities relative to direct investment in the QQQ Trust.

The disclosure also highlights that the actual yield received by investors may be negative, particularly if one or more contingent coupon payments are not received because the underlying shares close below the downside threshold on valuation dates. If the QQQ Trust declines significantly and closes below the threshold on most valuation dates during the one-year period, investors could receive minimal or no contingent coupon payments while still facing principal loss at maturity. The pricing supplement warns that investors must be willing to accept both the risk of limited or no liquidity and the risk of not receiving any payments due if Citigroup Global Markets Holdings Inc. or Citigroup Inc. defaults, compounding the risks inherent in the securities' structure.

Regulatory Approval Status and Disclosure Documents

The pricing supplement was filed pursuant to Rule 424(b)(2) under the Securities Act of 1933 and references underlying registration statements numbered 333-293732 and 333-293732-02. The disclosure includes a standard regulatory notice 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 product supplement, underlying supplement, prospectus supplement, and prospectus are truthful or complete. The pricing supplement directs investors to review the accompanying product supplement numbered EA-04-12 dated February 25, 2026, underlying supplement numbered 13 dated February 25, 2026, and prospectus supplement and prospectus each dated February 25, 2026, which are incorporated by reference and provide additional details regarding the securities, the underlying index, and risk factors.

The filing states that investors should read the pricing supplement together with all accompanying documents accessible via hyperlinks in the disclosure materials. The pricing supplement explicitly notes a summary of risk factors beginning on page PS-9 of the document, directing investors to that section for a comprehensive discussion of risks associated with the securities. The documents collectively provide the complete offering terms, valuation methodology, risk disclosures, and information about the underlying Invesco QQQ Trust, but individual investors would need to review all of these materials to obtain a complete understanding of the investment before making a purchase decision.

Fee Structure and Underwriting Arrangement Details

The underwriting and distribution fee structure reveals several layers of compensation within the offering. CGMI, acting as principal, received a total underwriting fee of $12,000 ($1.00 per $1,000 security) from the $12 million offering. Selected dealers and their financial advisors, including those affiliated with Morgan Stanley Wealth Management, collectively received from CGMI a fixed selling concession of $0.50 per $1,000 security sold. Additionally, Morgan Stanley Wealth Management received a structuring fee of $0.50 per security from CGMI, accounting for the remaining $0.50 difference between the $1,000 issue price and the $999 net proceeds to the issuer per security.

The pricing supplement disclosed that CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines after issuance. This provision suggests that Citigroup's trading and derivatives desk may have established hedging positions in the underlying QQQ Trust or related financial instruments to offset its own risks from the contingent income structure it created. The fact that CGMI could profit from hedging regardless of the securities' performance implies potential conflicts of interest, as the affiliate has financial incentives that may not align with investors' interests. The nature and magnitude of such hedging profits were not disclosed in the pricing supplement.

Market Timing and Invesco QQQ Trust Context

The securities were priced on July 20, 2026, and issued on July 23, 2026, with a strike price of $695.33 for the Invesco QQQ Trust shares established on July 17, 2026. The Invesco QQQ Trust, Series 1, is one of the largest exchange-traded funds in the United States, tracking the Nasdaq-100 Index, which concentrates on large-cap technology, consumer discretionary, and biotechnology companies. The decision to link the contingent income securities to the QQQ Trust reflects investor demand for exposure to growth-oriented technology and innovation stocks through a structured product format offering enhanced income potential, albeit with principal-at-risk features. The timing of this offering in mid-July 2026 suggests that Citigroup Global Markets Holdings Inc. identified sufficient investor appetite for structured products offering higher coupon rates in exchange for contingent payment features and downside risk.

The downside threshold of 90% of the initial share price allows for a 10% decline in the QQQ Trust shares before investors' principal becomes fully at risk. However, given the volatility historically associated with technology-concentrated indices like the Nasdaq-100, this 10% buffer may provide limited protection during market downturns. Investors who purchased these securities accepted the risk that significant market declines in technology and growth stocks could result in principal losses at maturity, offset only partially by any contingent coupon payments received during periods when the QQQ Trust remained above the threshold.