Citigroup Issues $6.4 Million in Auto-Callable Securities Linked to UnitedHealth Stock Performance

Structure and Terms of the Contingent Income Securities

The securities represent unsecured debt obligations issued by Citigroup Global Markets Holdings Inc. and fully guaranteed by Citigroup Inc. The offering comprises 6,397 individual securities, each with a stated principal amount of $1,000, priced at par on the issue date of July 29, 2026. The pricing supplement indicates that the estimated value of the securities at the time of pricing was $970.40 per security, below the issue price, calculated using Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rates.

Investors purchasing these securities at the $1,000 issue price will be subject to underwriting fees totaling $17.50 per security paid to Citigroup Global Markets Inc., with additional compensation of $5.00 per security paid to Morgan Stanley Wealth Management as a structuring fee. Selected dealers including Morgan Stanley Wealth Management will collectively receive a fixed selling concession of $17.50 per security sold through their distribution channels. The total proceeds to the issuer, after deducting all fees, amount to $6.253 million, with total underwriting and structuring fees and concessions reaching approximately $143.93 million across all securities sold.

Contingent Coupon Payment Mechanism Tied to UnitedHealth Performance

The securities provide quarterly contingent coupon payments at an annualized rate of 10.25%, or 2.5625% per security per quarter, contingent upon the closing price of UnitedHealth Group Incorporated common stock remaining above the downside threshold price of $273.481 on each valuation date. The initial share price used to calculate the downside threshold was $420.74, representing the closing price on the pricing date of July 24, 2026. Should the underlying stock close below the threshold on any valuation date, investors will receive no contingent coupon payment for that quarter.

The pricing supplement discloses an important "catch-up" provision whereby if contingent coupon payments are missed due to the stock falling below the threshold, but subsequently the stock recovers above the threshold on a later valuation date, all previously unpaid quarterly contingent coupon payments will be paid at that time without interest on the deferred amounts. However, if the stock remains below the downside threshold on any valuation date and on all subsequent valuation dates through maturity, investors will forfeit all unpaid contingent coupon payments permanently. This structure creates incentive for investors to monitor ongoing stock performance but also introduces the risk of significant income loss if the underlying stock remains depressed for extended periods.

Automatic Early Redemption Feature and Valuation Schedule

A distinguishing feature of these securities is the automatic early redemption provision, which allows the issuer to redeem the securities prior to the stated maturity date if UnitedHealth stock closes at or above the initial share price of $420.74 on any potential redemption date. The filing establishes a schedule of 12 quarterly valuation dates and corresponding potential redemption dates beginning with October 26, 2026, and continuing through July 24, 2029, with the final valuation date scheduled for July 24, 2029. If automatic redemption occurs, investors receive the stated principal amount of $1,000 plus any contingent coupon payment due on the redemption date, including any previously unpaid quarterly contingent coupon payments accumulated to that point.

The early redemption feature creates uncertainty regarding the actual holding period for investors, as the securities could be called away as early as the first potential redemption date in October 2026 if UnitedHealth stock appreciates. This represents a form of upside participation restriction, as investors will not benefit from any appreciation of the underlying stock beyond the initial share price level. The disclosure notes that if the securities are redeemed, no further payments will be made, effectively capping the income potential for investors whose holdings are called early.

Principal at Risk and Maturity Payment Structure

The securities explicitly carry principal at risk, meaning investors face potential loss of capital if UnitedHealth stock declines significantly by the maturity date. The pricing supplement states that if the final share price on the maturity date is less than the downside threshold price of $273.481, investors will receive less than 65% of their stated principal amount, with potential for receiving significantly less or possibly zero. Specifically, the payment at maturity in this scenario would be calculated as $1,000 plus the share return multiplied by $1,000, where share return represents the percentage decline in the stock price from the initial share price.

The disclosure emphasizes that this principal-at-risk structure stands in contrast to conventional debt securities, which typically return full principal at maturity. An investor holding securities to maturity will receive the full $1,000 principal amount plus the final contingent coupon payment only if the final share price remains at or above the downside threshold of $273.481. The 65% threshold represents the floor price level, meaning that if UnitedHealth stock falls to that level or below, investors begin to experience principal erosion on a dollar-for-dollar basis with further stock declines. This feature fundamentally transforms the risk profile compared to standard fixed-income investments.

Comparison to Conventional Debt Securities and Yield Considerations

The pricing supplement explicitly acknowledges that investors are accepting higher risk in exchange for the potential for higher yield compared to Citigroup's conventional debt securities of the same maturity. The 10.25% annualized contingent coupon rate is presented as compensation for accepting risks that investors will receive lower actual yields, negative yields, or no coupon payments at all depending on UnitedHealth stock performance. The filing indicates that the estimated value of the securities at pricing ($970.40) was less than the issue price ($1,000), suggesting that the market pricing reflected the downside risks embedded in the structure.

Investors considering these securities must weigh the potential for enhanced income if all quarterly contingent coupon payments are received against the dual risks of missing coupon payments if the stock falls below the threshold and of receiving less than full principal if the stock declines substantially. The disclosure makes clear that an investor's actual yield may be negative due to principal loss, negating the benefit of any coupon payments received. Additionally, investors are explicitly advised that they will not participate in any appreciation of UnitedHealth shares beyond the automatic redemption trigger level and will receive no dividends paid on the underlying stock.

Liquidity and Credit Risk Considerations

The pricing supplement discloses that the securities are not listed on any securities exchange and cautions investors that the investment may have limited or no liquidity in the secondary market. Unlike publicly traded securities with active dealer markets, investors seeking to sell these securities before maturity may face significant difficulties finding buyers or may be forced to accept substantial discounts to fair value to effect a sale. The unlisted nature of the securities creates an illiquidity risk that could prove material for investors needing to access capital before the maturity date or optional early redemption occurs.

All payments on the securities are contingent upon Citigroup Global Markets Holdings Inc. and Citigroup Inc. meeting their obligations. The securities are fully guaranteed by Citigroup Inc., meaning that an investor's recovery depends on the creditworthiness of the Citigroup organization. The filing explicitly states that the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. This credit risk means that even if UnitedHealth stock performs well and contingent coupon payments are due, investors could lose all amounts invested if Citigroup and its parent fail to meet their debt obligations.

Valuation Assessment and Pricing Considerations

The pricing supplement discloses that at the time of pricing, Citigroup Global Markets Inc. estimated the value of the securities at $970.40 per security, approximately $29.60 below the $1,000 issue price. This estimated value was calculated using Citigroup's proprietary pricing models and internal funding rate and is explicitly stated as not representing an indication of actual profit to Citigroup or its affiliates or an indication of any price at which Citigroup or other parties may be willing to purchase the securities in the secondary market. The valuation disclosure suggests that investors would experience an immediate paper loss if they sought to sell the securities shortly after purchase.

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, creating potential incentive misalignment between the issuer and investors. This hedging activity likely involves the issuer purchasing call options or implementing other derivatives strategies to hedge the issuer's exposure from issuing these contingent income securities, with potential profits accruing to Citigroup regardless of investment performance experienced by security holders.

Quarterly Valuation Schedule and Redemption Timeline

The securities establish a clearly defined schedule of quarterly valuation, potential redemption, and payment dates spanning the approximately three-year period from October 26, 2026, through July 27, 2029. The filing provides a comprehensive table listing all 12 potential redemption dates and corresponding contingent coupon payment dates, with each redemption opportunity occurring approximately three months after the prior one. This regular quarterly schedule provides investors with periodic assessment points at which the issuer may elect to redeem the securities if UnitedHealth stock appreciates above the initial share price threshold.

The first potential redemption date is scheduled to occur approximately three months after the issue date, meaning that investors' holding period could be as short as three months if UnitedHealth stock performs well. Conversely, if the stock declines, the securities will remain outstanding through the full stated maturity date of July 27, 2029, exposing investors to the entire three-year holding period with no option for early redemption in the issuer's disfavor. This asymmetric redemption structure favors the issuer and creates uncertainty for investors regarding both the income stream and the actual duration of their investment.

Underlying Asset Focus and Performance Exposure

The securities' value and payment structure are entirely dependent upon the performance of UnitedHealth Group Incorporated common stock, trading under the ticker symbol UNH. The initial share price for valuation purposes is fixed at $420.74, the closing price on the July 24, 2026, pricing date. All subsequent valuations reference the closing price of UNH common stock on the designated valuation dates, with no adjustment for stock splits, dividends, or other corporate actions explicitly disclosed in this pricing supplement. Investors are exposed to potential significant declines in UnitedHealth stock value but receive no participation in appreciation beyond the automatic redemption trigger and no dividend income from the underlying shares.

The 65% downside threshold represents a substantial potential loss level, indicating that UnitedHealth stock would need to decline by 35% from the initial share price before investors begin to experience principal erosion. However, if the stock declines further below that 65% level, the loss accelerates significantly. For example, if UnitedHealth stock were to fall to $210.37 (50% of the initial price), an investor would receive only $500 at maturity per security, representing a 50% loss of principal. The concentration of investment returns and risks solely upon a single equity security creates significant idiosyncratic risk not present in diversified fixed-income investments.

Fee Structure and Compensation to Distribution Parties

The pricing supplement details a multi-layered fee structure benefiting various parties in the distribution process. Citigroup Global Markets Inc., acting as principal underwriter, receives the primary underwriting fee of $22.50 per security. Selected dealers, notably including Morgan Stanley Wealth Management, and their financial advisors collectively receive a fixed selling concession of $17.50 per security sold through their channels. Additionally, Morgan Stanley Wealth Management receives a specific structuring fee of $5.00 per security, and electronic platform providers collectively receive $0.50 per security where dealers and custodians utilize such platforms.

These fees totaling approximately $143.93 million in aggregate across the 6,397 securities represent costs borne by investors, reducing their net proceeds from the investment. An investor purchasing $1,000 of securities effectively invests that full amount at par but nets only $977.50 in economic value after the $22.50 underwriting fee, with additional compensation to dealers and platform providers reducing the economic benefit. The tiered fee structure incentivizes distribution and platform participation but creates a meaningful drag on investor returns from issuance.

Risk Disclosure and Investment Suitability Considerations

The pricing supplement emphasizes that investing in these securities involves risks not associated with conventional debt securities and cautions that investors must be willing to accept multiple distinct risks. Primary among these are the risk that actual yield may be lower than conventional debt of the same maturity due to missed contingent coupon payments, the risk that actual yield may be negative due to principal loss at maturity, and the risk that the securities may be automatically redeemed early, limiting upside participation. The filing explicitly states 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 disclosure materials indicate that these securities are complex structured products suitable only for investors with the sophistication to understand embedded risks and the financial capacity to sustain potential losses. The filing does not identify a specific investor suitability profile but implicitly suggests that these securities are appropriate only for investors willing to accept principal at risk in exchange for potential income enhancement and who can afford to hold illiquid securities potentially for three years. Investors should carefully evaluate whether their investment objectives, risk tolerance, and time horizon align with the characteristics of these contingent income auto-callable securities.