Citigroup Issues Autocallable Equity-Linked Securities Tied to Nasdaq-100 and S&P 500 Performance

Structure and Terms of the Autocallable Security Offering

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued Medium-Term Senior Notes, Series N, with a maturity date of July 24, 2031. The securities are guaranteed by Citigroup Inc. and were priced on July 21, 2026, with an issue date of July 24, 2026. The stated principal amount is $1,000 per security, and the offering consisted of 2,595 securities generating total gross proceeds of $2,595,000 before the underwriting fee of $15,570. Net proceeds to the issuer totaled $2,579,430.

The securities feature a quarterly contingent coupon mechanism with valuation dates occurring every quarter from October 21, 2026, through July 21, 2031. If the closing value of the worst-performing underlying on any valuation date exceeds its coupon barrier value of 75% of its initial underlying value, investors receive a contingent coupon payment equal to 2.95% of the stated principal amount. This quarterly payment structure is equivalent to an annualized coupon rate of 11.80%. The contingent coupon payment dates occur on the third business day following each valuation date, except the final contingent coupon payment coincides with the maturity date.

Dual Index Reference Structure and Performance Mechanics

The securities are linked to the performance of two major equity indices: the Nasdaq-100 Index and the S&P 500 Index. On the strike date of July 20, 2026, the Nasdaq-100 Index had a closing value of 28,604.23, while the S&P 500 Index closed at 7,443.28. These values establish the baseline for calculating underlying returns throughout the life of the securities. The securities track only the worst-performing underlying, meaning investors are exposed to downside risk from whichever index performs more poorly over any given measurement period.

The coupon barrier for the Nasdaq-100 Index is set at 21,453.173, representing 75% of its initial underlying value, while the S&P 500 Index coupon barrier is 5,582.460, also representing 75% of its initial value. At maturity, if the worst-performing underlying has declined below its final barrier value—70% of its initial underlying value—the principal repayment adjusts downward by the underlying return percentage. For the Nasdaq-100 Index, the final barrier is 20,022.961, and for the S&P 500 Index, the final barrier is 5,210.296. Investors receive no dividends or appreciation from either underlying index, only exposure to negative performance.

Automatic Early Redemption Feature and Autocall Mechanics

The securities incorporate an automatic early redemption feature that allows the issuer to redeem the notes prior to maturity beginning on January 21, 2027. The autocall mechanism activates if the closing value of the worst-performing underlying on any potential autocall date equals or exceeds its initial underlying value. There are 19 potential autocall dates scheduled from January 21, 2027, through April 21, 2031. When automatic redemption is triggered, investors receive $1,000 per security plus the applicable contingent coupon payment on the immediately following contingent coupon payment date.

This autocall feature significantly constrains potential investor returns. If either index performs favorably and returns to or surpasses its initial July 2026 level, the securities are automatically called, terminating the investor's exposure to further contingent coupon payments. The disclosure emphasizes that if the worst-performing underlying performs well—a scenario that might otherwise be favorable—the securities would likely be redeemed early, shortening the period during which investors can collect quarterly coupon payments. This creates a fundamental asymmetry: investors benefit from downside protection only in extreme decline scenarios, while upside performance triggers early redemption.

Principal Risk and Maturity Payment Scenarios

At maturity on July 24, 2031, if the securities have not been automatically redeemed, the principal repayment depends entirely on how the worst-performing underlying has performed relative to its final barrier value. If the worst-performing underlying closes at or above its final barrier value on the final valuation date of July 21, 2031, investors receive full principal of $1,000 per security. However, if the worst-performing underlying falls below its final barrier value, the principal repayment is reduced by the percentage decline from the initial underlying value. In the most adverse scenario, if the worst-performing underlying declines by 100% or more, investors could receive nothing at maturity.

The disclosure explicitly warns that investors will receive significantly less than the stated principal amount and possibly nothing if the worst-performing underlying declines below 70% of its initial value by maturity. The final underlying value is determined solely on the final valuation date of July 21, 2031, and all payments at maturity, including any final contingent coupon, are withheld if the worst-performing underlying falls below its final barrier. This structure means investors have downside exposure from approximately -30% onward on the worst-performing index, with no upside participation if either index appreciates beyond its initial level.

Valuation and Pricing Dynamics

On the pricing date of July 21, 2026, Citigroup Global Markets Inc. estimated the fair value of the securities at $990.10 per security, notably less than the $1,000 issue price. This valuation was derived from Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate assumptions. The discount between estimated value and issue price reflects the embedded option costs and structured product complexity inherent in the autocallable mechanism and contingent coupon features.

The underwriting fee of $6.00 per security was retained by Citigroup Global Markets Inc., which acted as principal underwriter. The estimated value of $990.10 per security represents Citigroup Global Markets Inc.'s internal assessment and is not necessarily indicative of the price at which the firm or any other party would be willing to purchase the securities in the secondary market. Additionally, Citigroup Global Markets Inc. and its affiliates may profit from hedging activities related to the offering independent of movements in the securities' value, creating potential incentive conflicts between the underwriter and investors.

Credit Risk and Guarantee Structure

All payments on the securities, including contingent coupon payments and principal repayment at maturity or upon automatic redemption, are fully and unconditionally guaranteed by Citigroup Inc. The guarantee means that if Citigroup Global Markets Holdings Inc. defaults on its payment obligations, investors have recourse against the parent company, Citigroup Inc. However, the disclosure emphasizes that investors are subject to the full credit risk of both the issuer and the guarantor. If Citigroup Inc. itself experiences financial distress or defaults, investors could lose payments entirely.

The securities are unsecured debt obligations and are not bank deposits insured by the Federal Deposit Insurance Corporation or any other governmental agency. They are also not obligations of a bank itself, but rather debt issued by a securities holding company subsidiary of the banking organization. This structural positioning places investors in the unsecured creditor category, subordinate to depositors and other secured or senior creditors in any potential insolvency scenario involving Citigroup Inc.

Liquidity Constraints and Secondary Market Considerations

The securities will not be listed on any securities exchange, meaning there is no established secondary market or exchange trading mechanism for investors seeking to exit their positions prior to maturity. The disclosure explicitly warns that investors must be willing to accept limited or no liquidity, making these securities suitable only for investors with a full holding period commitment through maturity or until automatic redemption occurs. The inability to readily trade the securities creates lock-in risk for investors seeking early exit.

While Citigroup Global Markets Inc. may provide pricing quotes for secondary market transactions, there is no obligation to do so, and any such quotes may differ significantly from the initial pricing. The estimated value of $990.10 per security at issuance does not represent a floor for potential secondary market prices. Depending on index performance, interest rate movements, and credit spread changes, secondary market values could decline substantially below both the issue price and estimated fair value. Investors should assume the securities may be difficult or impossible to sell before maturity.

Risk Profile and Suitability Considerations

The securities carry substantially greater risk than conventional Citigroup debt of comparable maturity. Investors forgo the certainty of fixed coupon payments in exchange for contingent coupons that only accrue when the worst-performing index remains above 75% of its initial level. The contingent coupon mechanism means that if either the Nasdaq-100 or S&P 500 declines by 25% or more from their July 2026 levels, investors receive no coupon payments for that quarter and all subsequent quarters until recovery occurs.

The principal-at-risk structure means investors are not protected against index declines beyond the 30% threshold of the final barrier value. Combined with the automatic redemption feature that caps returns if indices recover, the securities create a skewed risk-reward profile: investors receive limited upside (early redemption at par plus coupons received to date) but substantial downside exposure (principal erosion). The reliance on the worst-performing index magnifies risk because only one of the two indices needs to decline significantly to trigger coupon suspension and principal loss, even if the other index performs adequately.

Comparable Risk Analysis and Investor Positioning

The 11.80% annualized contingent coupon rate is substantially higher than typical Citigroup conventional debt yields, reflecting compensation for the multiple embedded risks and structural disadvantages. However, investors must recognize that achieving the full 11.80% annualized return requires that the worst-performing index remain above its 75% coupon barrier on all 20 valuation dates without being called early. Any decline below the coupon barrier in even one quarter eliminates that quarter's coupon payment, immediately reducing realized returns.

The filing indicates that the estimated value of $990.10 per security includes the underwriting fee impact and reflects that investors are purchasing these securities at prices above fair value as estimated by the issuer's models. This valuation gap suggests the contingent coupon rate, while attractive nominally, may not fully compensate for the embedded risks and potential for reduced returns. Investors considering these securities should carefully model various index performance scenarios, including sideways markets, moderate declines, and sharp corrections, to assess whether the potential returns justify the substantial downside risks.

Registration and Regulatory Framework

The securities were registered under Securities Act registration statement numbers 333-293732 and 333-293732-02. The offering is documented through a pricing supplement filed pursuant to Securities Act Rule 424(b)(2), which allows for the final pricing and terms to be disclosed separately from the base prospectus and product supplements. Investors are required to review the complete offering documents, including Product Supplement No. EA-04-12, Underlying Supplement No. 13, and the prospectus supplement, all dated February 25, 2026, to fully understand the terms, risks, and mechanics of the securities.

The Securities and Exchange Commission has neither approved nor disapproved of the securities, nor has it determined the truthfulness or completeness of the disclosure documents. The SEC's lack of approval is standard for all structured product offerings and should not be construed as implicit endorsement. Investors should independently verify all material terms and risk disclosures and should not rely solely on this pricing supplement or any summary thereof. The complexity of these securities requires sophisticated financial analysis, and investors without specialized knowledge of structured products, index mechanics, and contingent coupon instruments should consult with qualified financial advisors before investing.