Citigroup Issues $621 Million in Autocallable Equity-Linked Securities Linked to Ulta Beauty

Structure and Terms of the Autocallable Securities

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued these medium-term senior notes on July 28, 2026, with a stated principal amount of $1,000 per security. The disclosure states that the securities are unsecured debt obligations of the issuer and carry a full and unconditional guarantee from Citigroup Inc. The pricing supplement, filed pursuant to Securities and Exchange Commission Rule 424(b)(2) on July 23, 2026, reveals the detailed mechanics of an investment vehicle designed to provide enhanced yield potential compared to conventional debt securities of the same maturity.

The securities feature eight scheduled valuation dates occurring approximately quarterly, beginning October 23, 2026, and concluding with a final valuation date on July 24, 2028. Contingent coupon payment dates follow three business days after each valuation date. The final contingent coupon payment, if earned, coincides with the maturity date of July 27, 2028. Each quarterly contingent coupon payment equals 3.00% of the stated principal amount, translating to a 12.00% annualized rate, subject to the condition that the closing value of Ulta Beauty stock meets or exceeds the coupon barrier value of $271.00 at the preceding valuation date.

Contingent Coupon Payment Mechanics and Barriers

The contingent coupon structure introduces a significant element of conditionality that may result in investors receiving no coupon payments in any given period. The disclosure explains that investors receive the 3.00% quarterly coupon only if Ulta Beauty's closing price on the valuation date is greater than or equal to the coupon barrier value of $271.00, which represents 56.70% of the initial underlying value established at pricing on July 23, 2026. If the stock closes below this barrier on any valuation date, the contingent coupon due on the following payment date is forfeited with no compensation or accrual of interest.

The filing introduces a "catch-up" provision for missed coupons, stating that if Ulta Beauty trades below the coupon barrier on one or more valuation dates but subsequently recovers above the barrier on a later valuation date, the catch-up coupon payment includes all previously unpaid contingent coupons without interest. However, this catch-up applies only if the recovery occurs before maturity. The disclosure warns that if Ulta Beauty remains below the coupon barrier on all valuation dates from the first barrier breach through the final valuation date, investors will forfeit all unpaid contingent coupon payments permanently.

Automatic Early Redemption and Upside Limitation

The securities feature an automatic early redemption (autocall) mechanism that significantly constrains upside potential. The disclosure states that if Ulta Beauty's closing price equals or exceeds the initial underlying value of $477.955 on any of six potential autocall dates—scheduled for January 25, 2027, April 23, 2027, July 23, 2027, October 25, 2027, January 24, 2028, and April 24, 2028—the securities will be automatically called for redemption. Upon autocall, investors receive $1,000 in cash plus the related contingent coupon payment on the immediately following payment date.

The pricing supplement emphasizes that this automatic early redemption feature may significantly limit potential returns. The disclosure notes that if Ulta Beauty performs favorably and reaches the initial underlying value, the securities will be redeemed prior to maturity, cutting short the opportunity to receive additional contingent coupon payments that would otherwise accrue over the remaining term. This creates an asymmetric risk-return profile: investors are exposed to substantial downside if the stock declines but have their upside gains capped and accelerated away from them through forced redemption.

Downside Risk and Principal Loss Exposure

At maturity, if the securities have not been automatically called, investors face a binary outcome determined by Ulta Beauty's final closing price on July 24, 2028. If the final underlying value is greater than or equal to the final barrier value of $271.00, investors receive the full $1,000 stated principal amount per security. However, if the final underlying value falls below $271.00, investors receive instead a fixed number of Ulta Beauty shares calculated at an equity ratio of 2.09225 shares per security, or at Citigroup's sole discretion, the cash equivalent of those shares based on the final underlying value.

The disclosure emphasizes that this equity settlement at maturity exposes investors to potentially catastrophic losses. If Ulta Beauty declines significantly below the final barrier value, the shares received will be worth substantially less than the $1,000 stated principal, and the filing explicitly warns this amount could be zero if the underlying stock price collapses to zero. Critically, if equity settlement occurs, investors forgo the final contingent coupon payment and receive no compensation for any previously unpaid contingent coupons, regardless of the outstanding balance owed.

Valuation and Secondary Market Considerations

The pricing supplement discloses that on the pricing date of July 23, 2026, Citigroup Global Markets Inc. estimated the fair value of the securities at $974.60 per security, approximately $25.40 per security below the $1,000 issue price. The disclosure states explicitly that this estimated value is based on CGMI's proprietary pricing models and internal funding rate and is "not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance."

This valuation gap introduces immediate underwater economics for purchasers at issuance. The filing also notes that the securities will not be listed on any securities exchange, creating a potentially illiquid secondary market. The disclosure warns investors of two critical risks: limited or no liquidity in the secondary market, and the risk of default by both Citigroup Global Markets Holdings Inc. and its parent Citigroup Inc., which guarantee all payments. The absence of listing means investors seeking to exit positions before maturity may face unfavorable pricing or inability to find buyers.

Underwriting Compensation and Distribution

The pricing supplement details the compensation structure for the offering, with Citigroup Global Markets Inc. receiving an underwriting fee of $18.50 per security on a total issue of 621,000 securities, generating total underwriting compensation of $11,488,50. The net proceeds to the issuer totaled $609,511.50 across all securities, with per-security proceeds of $981.50 after deduction of the full underwriting fee. The disclosure notes that this fee is variable and that the stated proceeds figures represent minimum proceeds assuming maximum per-security underwriting fees.

The filing discloses that CGMI will pay selected dealers not affiliated with CGMI a selling concession of $17.50 per security and a structuring fee of up to $1.00 per security. Additionally, CGMI will pay undisclosed fees to electronic platform providers for securities sold through such platforms where selected dealers and custodians implement or utilize those providers. The disclosure further notes that CGMI and its affiliates may profit from hedging activities related to the offering even if the securities decline in value, creating a potential conflict of interest between the interests of investors and the financial interests of the arranger and underwriter.

Risk Disclosure and Credit Exposure

The pricing supplement emphasizes throughout that all payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The disclosure notes that the securities are not bank deposits and carry no insurance or guarantee from the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of or guaranteed by a bank in any traditional sense. The guarantee from Citigroup Inc., while full and unconditional, depends entirely on Citigroup's ability and willingness to satisfy its obligations.

The filing identifies multiple risk dimensions beyond equity market performance. Investors face the risk that Citigroup may default on its payment obligations, in which case the securities would have value only as claims against a defaulted entity in bankruptcy or insolvency proceedings. The structured nature of the securities introduces complexity risk—investors must understand the contingency mechanics, barrier levels, autocall triggers, and equity ratio calculations, increasing the likelihood of misunderstanding or miscalculation. The illiquidity risk is substantial, as these securities do not trade on any public exchange and may be extremely difficult or impossible to sell before maturity.

No Dividend Participation or Upside Participation

A critical limitation disclosed in the pricing supplement is that although investors gain downside exposure to Ulta Beauty through the equity settlement feature at maturity, they receive none of the economic benefits of equity ownership. The disclosure explicitly states: "Although you will have downside exposure to the underlying, you will not receive dividends with respect to the underlying or participate in any appreciation of the underlying." This asymmetry means investors bear the risk of stock price decline but capture none of the benefit if Ulta Beauty pays dividends or experiences price appreciation beyond the autocall level.

This design feature effectively transfers both downside and dividend risk to note holders while reserving all upside appreciation benefit for the issuer through the autocall mechanism. If Ulta Beauty's stock price rises substantially above the initial value, investors participate not at all but instead experience forced redemption at par plus the final coupon payment. If the stock performs poorly but pays dividends during the two-year term, investors receive no benefit from those dividends despite bearing full downside exposure to the stock price through the equity settlement feature.

Regulatory Filing and Disclosure Framework

The offering was conducted under Securities and Exchange Commission Rule 424(b)(2), which permits the filing of a pricing supplement for previously registered securities. The filing references Registration Statement Nos. 333-293732 and 333-293732-02, indicating that the base registration statement for medium-term senior notes was previously filed and declared effective. The product supplement and prospectus, dated February 25, 2026, provide the overarching terms and conditions, while this pricing supplement dated July 23, 2026, establishes the specific terms unique to this Ulta Beauty-linked issuance.

The disclosure framework emphasizes that investors must read the pricing supplement in conjunction with the accompanying product supplement, prospectus supplement, and base prospectus to obtain complete information regarding the securities. The SEC's standard risk disclaimer appears in the filing, noting that neither the SEC nor any state securities commission has approved or disapproved the securities or determined whether the disclosure documents are truthful or complete. This standard caveat does not constitute SEC approval or endorsement and does not reduce the risks inherent in the securities.