Citigroup Issues $30.98 Million Autocallable Securities Linked to Russell 2000 Index

Structure and Automatic Redemption Features of the Offering

The securities issued by Citigroup Global Markets Holdings, with a full guarantee from Citigroup Inc., are structured as unsecured debt that do not pay periodic interest and do not guarantee principal repayment at maturity. Instead, returns depend entirely on the performance of the Russell 2000 Index measured at 18 specified valuation dates beginning July 23, 2027, and concluding on July 16, 2031. The stated principal amount is $1,000 per security, with pricing set on July 16, 2026, and the issue date of July 21, 2026.

The key attraction of these securities is the automatic early redemption feature. If the Russell 2000 closes at or above 2,677.110—representing 90% of the initial underlying value of 2,974.567—on any valuation date before maturity, the securities automatically redeem on the third business day following that date. Investors receive $1,000 plus a premium tied to that specific valuation date. The disclosure states that if automatic redemption occurs, investors forfeit access to any higher premiums applicable to later valuation dates, creating a time-dependent tradeoff between locking in gains and potentially capturing higher payments.

Premium Payment Schedules Across Valuation Dates

Citigroup structured escalating premiums at each quarterly valuation point, beginning at 9.50% of stated principal at the first redemption opportunity on July 23, 2027, and increasing by approximately 2.375 percentage points every three months through maturity. By the final valuation date of July 16, 2031, the premium reaches 47.50% of the stated principal amount if automatic redemption has not occurred and the index remains above the autocall barrier.

The disclosure emphasizes that these premiums may be significantly less than the actual appreciation of the underlying index from the pricing date to any given valuation date. This design feature effectively caps the upside participation of investors; if the Russell 2000 appreciates substantially beyond the 90% threshold, investors receive only the predetermined premium amount rather than full participation in the index's gains. The graduated premium schedule incentivizes early redemption and manages Citigroup's hedging costs by rewarding longer holding periods only if the index remains in the triggering zone.

Downside Buffer Mechanism and Loss Scenarios

A central feature protecting investors from immediate and complete loss is the 15% buffer mechanism, which establishes a floor at 85% of the initial index value, or 2,528.38195. The disclosure outlines three distinct payment scenarios at maturity for securities not previously redeemed. If the final index value remains at or above the autocall barrier of 90%, investors receive $1,000 plus the final premium of 47.50%. If the index declines to between 85% and 90% of its initial value, investors receive $1,000 with no premium but full principal protection.

However, if the index falls below the 85% final buffer value, losses accelerate significantly. The filing states that investors will lose more than 1% of stated principal for every 1% by which the index depreciates beyond the buffer threshold. The calculation applies a buffer rate of 1.1765 (the ratio of initial to final buffer value) multiplied by the index return percentage, with losses accumulating on a one-to-one basis below the buffer. The disclosure explicitly warns that as the final underlying value declines further below the buffer, the benefit of the buffer percentage diminishes, resulting in uncapped downside exposure.

Valuation Framework and Index Reference Points

The document establishes specific numerical reference points essential to understanding investor risk and return. The initial underlying value of 2,974.567 represents the Russell 2000 closing level on the pricing date of July 16, 2026. This baseline determines all subsequent calculations: the autocall barrier at 2,677.110 (90%), the final buffer value at 2,528.38195 (85%), and ultimately the payoff structure at each valuation date. The disclosure confirms that final underlying value is determined by the index closing level on July 16, 2031, the final valuation date, subject to postponement if that date is not a scheduled trading day or if certain market disruption events occur.

Valuation dates occur quarterly beginning July 23, 2027, with subsequent dates on October 18, 2027, January 18, 2028, and continuing through January 16, 2031, April 16, 2031, and the final date of July 16, 2031. Each valuation date is subject to the same postponement provisions. The underlying return calculation divides the difference between final and initial index values by the initial value, determining the percentage change that triggers premium payments or loss calculations. This framework creates a five-year lookback period from pricing to maturity, exposing investors to cumulative Russell 2000 performance.

Credit Risk and Liquidity Constraints

The securities carry the full credit risk of both Citigroup Global Markets Holdings Inc. and its parent company, Citigroup Inc., which provides an unconditional guarantee on all payments. The disclosure states clearly that all payments depend entirely on the creditworthiness of these entities and that investors are exposed to the default risk of the issuer and guarantor. Unlike bank deposits, these securities are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency.

The filing discloses that the securities will not be listed on any securities exchange, creating significant liquidity constraints. The disclosure warns that investors must be willing to accept limited or no liquidity in the securities and that there is no indication of the price, if any, at which Citigroup Global Markets Inc. or other parties may be willing to buy the securities from investors after issuance. The estimated value of $995.40 per security at pricing—$4.60 below the $1,000 issue price—reflects embedded costs and the fact that this valuation is based on Citigroup's proprietary pricing models and internal funding rates rather than a secondary market price.

Dividend Restrictions and Participation Limitations

A critical restriction embedded in the securities structure is that investors will not receive any dividends paid by companies in the Russell 2000 Index, despite holding securities linked to that benchmark. This provision eliminates an important source of returns available to investors who hold the index directly through mutual funds or exchange-traded funds. The disclosure further states that investors will not participate in any appreciation of the underlying index beyond the predetermined premium amounts, effectively capping upside gains.

These restrictions mean that investors bear the full downside risk of Russell 2000 depreciation while surrendering both dividend income and excess appreciation gains. The disclosure emphasizes that investing in these securities involves risks not associated with investment in conventional debt securities, as conventional debt provides stated coupon payments and principal repayment guarantees absent issuer default, whereas these securities provide neither coupon income nor principal certainty. The combination of dividend exclusion and capped upside creates an asymmetric risk-reward profile favoring the issuer.

Hedging Dynamics and Affiliate Profit Opportunities

The disclosure reveals that Citigroup Global Markets Inc., acting as the sole underwriter and principal, receives no explicit underwriting fee on this $30.98 million offering—the full issue price flows to the issuer. However, the filing notes that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to the offering even if the value of the securities declines to investors. Additionally, the underwriter will receive a per-security fee of $1.00 from electronic platform providers where selected dealers and custodians utilize those platforms for distribution, generating an additional revenue stream of approximately $30,980 from the total offering size.

This structure creates potential alignment conflicts between Citigroup's hedging profits and investor outcomes. As the Russell 2000 Index appreciates and approaches or exceeds redemption barriers, Citigroup's hedges may become profitable regardless of whether investors benefit from early redemption. The disclosure states that estimated value at pricing of $995.40 reflects Citigroup's internal funding rate and proprietary models rather than market consensus, suggesting embedded spreads and costs benefit the issuer and its affiliates at inception.

Pricing Date and Issue Timeline Details

The securities were priced on July 16, 2026, with an official issue date of July 21, 2026, creating a five-business-day settlement window. This timeline is consistent with standard institutional debt issuance practices for complex structured products. The maturity date of July 21, 2031, provides a five-year investment horizon, though early automatic redemption could shorten actual holding periods significantly if the Russell 2000 appreciates as anticipated by market participants.

The disclosure confirms that the offering was filed pursuant to Rule 424(b)(2), referencing underlying registration statements, and includes companion documents: Product Supplement No. EA-02-12 dated February 25, 2026; Underlying Supplement No. 13 dated February 25, 2026; and a Prospectus Supplement and Prospectus each dated February 25, 2026. The CUSIP number 17334C3F9 and ISIN US17334C3F92 identify the securities for institutional trading and clearing purposes.

Risk Disclosures and Market Disruption Considerations

The pricing supplement emphasizes summary risk factors beginning on page PS-7, though specific risk details are referenced in accompanying documents not included in this particular disclosure. The document warns investors that valuation dates are subject to postponement if the date falls on a non-trading day or if certain market disruption events occur, creating potential uncertainty around the timing of redemption or maturity payments. The filing does not specify which market disruption events qualify for postponement or what alternative valuation protocols would apply.

The broader risk framework indicates that investors accept no guarantee of principal repayment, no periodic interest income, potential total loss of investment if the Russell 2000 declines more than 15% combined with credit default by Citigroup, and restricted secondary market liquidity for position management. The disclosure explicitly notes that the securities are not bank deposits and carry no governmental insurance or guarantees, distinguishing them clearly from traditional bank products and establishing their status as unsecured corporate debt subject to full issuer default risk.