Citigroup Issues $2.4 Million Buffered Equity Index Basket-Linked Notes Due 2028

Structured Product Terms and Payment Mechanics

The notes function as structured debt securities with payment outcomes determined solely by basket performance rather than conventional fixed coupons or principal repayment. The initial basket level was established at 100.00 on the trade date of July 21, 2026, with the final basket level calculated on August 2, 2028 (the determination date) by summing weighted index performance ratios. At maturity, if the final basket level exceeds the initial level, investors receive $1,000 stated principal plus returns calculated at an upside participation rate of 180 percent multiplied by the basket return, subject to a maximum settlement amount of $1,342.54 per $1,000 note—capping total returns at 34.254 percent.

The notes incorporate an asymmetric risk-return profile characteristic of buffered products. If the basket return is zero or negative but declines no more than 17.50 percent from the initial level, investors receive the full $1,000 stated principal amount with no loss. However, declines exceeding the 17.50 percent buffer trigger losses calculated by multiplying approximately 1.2121 by the excess decline percentage times $1,000, meaning investors could lose their entire principal if the basket falls sufficiently below the initial level. This structure requires investors to forgo dividend income on underlying stocks, interest payments, and any returns exceeding the 34.254 percent maximum in exchange for downside protection within the specified buffer zone.

Multi-Index Weighting and Geographic Diversification

The offering provides exposure to five distinct equity indices representing major developed markets across Europe, Asia, and the Pacific region. The EURO STOXX 50 Index receives the highest weighting at 40 percent of the basket, reflecting significant emphasis on large-cap eurozone companies. The TOPIX Index, tracking Japanese equities, represents 25 percent of the basket, while the FTSE 100 Index (United Kingdom large-cap stocks) comprises 17 percent. The Swiss Market Index and S&P/ASX 200 Index (Australian equities) together account for the remaining 18 percent with weightings of 11 percent and 7 percent respectively.

The unequal weighting structure concentrates performance impact on the three largest-weighted indices, as the disclosure notes that the performances of the EURO STOXX 50, TOPIX, and FTSE 100 indices will have significantly larger influence on note returns than the Swiss Market Index and S&P/ASX 200 Index. This geographic and index diversification exposes investors to macroeconomic conditions, currency movements, and equity market cycles across multiple developed economies. Offsetting performance among indices represents a material consideration, as declining levels in higher-weighted indices could be partially offset by gains in lower-weighted indices, though the inverse relationship also applies.

Pricing Structure and Issue Economics

The notes were issued at $1,000.00 per note for aggregate gross proceeds of $2,411,000, with no underwriting discount applied according to the pricing supplement. Citigroup Global Markets Inc., an affiliate of the issuer, served as principal underwriter for the offering without charging a separate underwriting fee. The estimated intrinsic value of the notes was disclosed at $998.50 per note on the pricing supplement date, below the $1,000 issue price, indicating that issuance occurred at a premium to the calculated proprietary valuation derived from Citigroup's internal pricing models and funding rate assumptions.

The disclosure specifies that the estimated valuation does not represent an indication of actual profit realized by Citigroup Global Markets Inc. or other affiliated entities, nor does it establish a floor for any potential secondary market prices at which affiliates might repurchase notes from holders after issuance. The pricing supplement expressly notes that Citigroup Global Markets Inc. and affiliated entities may profit from hedging activities related to the offering regardless of whether note values subsequently decline. The issuer retained discretion to offer additional tranches of notes at different issue prices and underwriting terms following the July 21, 2026 pricing date, with the understanding that different purchase prices would directly affect investment returns.

Credit Risk and Issuer Guarantees

The notes represent unsecured senior debt obligations of Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. as the parent entity. Investors bear direct credit exposure to both the primary issuer and the guarantor, meaning that default by either entity could result in total loss of principal and all promised payments. The pricing supplement provides explicit notice that if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, noteholders may receive no amount due under the notes and could lose their entire investment.

The guarantor structure provides no enhancement beyond Citigroup Inc.'s own creditworthiness, as the guarantee is only as strong as the parent company's financial condition and payment capacity at maturity. Unlike bank deposits, the notes receive no protection from Federal Deposit Insurance Corporation insurance coverage or any other governmental agency guarantee. The notes are not obligations of any bank entity but rather structured securities issued by a Citigroup subsidiary, distinguishing them from traditional bank debt instruments and limiting available investor protections to contractual terms and general unsecured creditor status.

Liquidity Constraints and Secondary Market Considerations

The disclosure explicitly states that the notes will not be listed on any securities exchange and may have limited or no liquidity in secondary markets following initial issuance. This illiquidity profile distinguishes the notes from publicly traded debt securities or equity instruments with active trading venues. Investors considering this offering must evaluate the practical difficulty of selling positions before maturity and the potential for substantial bid-ask spreads or inability to locate willing buyers if early exit becomes necessary due to changed financial circumstances or investment preferences.

Citigroup Global Markets Inc. retains discretionary authority to engage in market-making activity in the notes after initial distribution, but the disclosure provides no commitment or obligation to maintain secondary market liquidity. The combination of unlisted status and structured product complexity may substantially limit the pool of potential buyers on any secondary basis. Investors should assume the notes are primarily intended to be held until the August 4, 2028 maturity date, as early liquidation strategies may face significant practical and economic challenges.

Absence of Income Generation and Dividend Participation

A fundamental characteristic of the notes is the complete elimination of income-generating features associated with conventional debt securities and the underlying equity indices. The notes pay no periodic interest coupons, instead generating returns exclusively through basket index appreciation subject to the participation rate and maximum settlement cap. Similarly, investors receive no dividends or other distributions from the component indices, forfeiting entirely the dividend income streams that would accrue to direct index investors or equity fund holders tracking the same underlying benchmarks.

This income elimination represents an explicit trade-off embedded in the product's risk-return structure. Investors accept the loss of dividend income—a material component of historical returns in developed equity markets—in exchange for the defined downside buffer protection and participation rate mechanics. Over the approximately two-year holding period to maturity, the absence of dividend capture may represent meaningful opportunity cost, particularly in indices with higher dividend yields such as the FTSE 100 and Swiss Market Index, which historically maintain stronger dividend-paying cultures than the TOPIX Index.

Market Disruption Events and Valuation Adjustments

The pricing supplement references but does not detail certain events that could affect payment outcomes, including market disruption events and other occurrences affecting the basket indices. The accompanying product supplement—not the pricing supplement itself—contains comprehensive disclosure regarding consequences of market disruption events, postponement of valuation dates, and procedures for addressing discontinuance or material modification of underlying indices. These ancillary terms could materially alter the calculation of final basket levels and resulting investor payments if triggered during the measurement period.

Investors should consult the complete product supplement and underlying supplement referenced in the disclosure to understand these contingency provisions fully. The potential for index discontinuance, materiality modifications, or market disruptions affecting index calculation or availability represents additional risk factors beyond normal market price movements and credit considerations. The interaction between market disruption provisions and the final determination date of August 2, 2028 could affect whether the notes settle as originally structured or under modified methodologies if extraordinary events occur.

Comparative Risk Assessment for Structured Product Investors

The buffered structure offers meaningful downside protection relative to direct index investment strategies, permitting investors to participate in 180 percent of upside movements while forgoing losses up to 17.50 percent—a feature absent from conventional equity exposure. However, this protection comes at quantifiable costs: the elimination of dividend income, the capped maximum return of 34.254 percent, and the leveraged downside losses exceeding the buffer threshold. An investor holding direct positions in the underlying indices would capture dividend income and experience proportional downside exposure without the leverage applied to losses beyond the buffer.

The structural complexity and illiquidity of the notes create risks distinct from traditional securities. The reliance on Citigroup's credit strength, the absence of secondary market liquidity, and the mathematical interconnection between index weightings and final return calculations all require investors to conduct deeper due diligence than conventional debt or equity investment decisions. The unequal weighting toward European and Japanese indices concentrates currency and regional economic risk, as the 65 percent weighting to the EURO STOXX 50 and TOPIX indices means these markets' performance will dominate overall basket returns.

Document Framework and Investor Information Access

The notes form part of Citigroup Global Markets Holdings Inc.'s Medium-Term Senior Notes, Series N program and are governed by multiple governing documents available through publicly accessible SEC registration materials. The pricing supplement must be read in conjunction with Product Supplement No. EA-02-12 (dated February 25, 2026), Underlying Supplement No. 13 (dated February 25, 2026), and the accompanying Prospectus Supplement and Prospectus (each dated February 25, 2026). These supplemental documents contain material risk disclosures, detailed terms affecting payment calculations, and comprehensive information regarding the underlying indices that are specifically excluded from repetition in the pricing supplement itself.

The incorporation-by-reference framework creates an obligation for prospective investors to review all referenced documents to obtain complete information about the notes' terms, conditions, and risks. The Underlying Supplement No. 13 specifically addresses the five component indices' characteristics, calculation methodologies, and historical performance. Potential investors should allocate adequate time to review these interconnected documents, as the pricing supplement alone does not provide sufficient information for comprehensive investment decision-making. The multiple document structure, while necessary for regulatory compliance and operational efficiency, increases the complexity and information-gathering burden on retail and institutional investors evaluating the offering.