Citigroup Issues Autocallable Securities Linked to Space Exploration Technologies Corp., Priced July 24, 2026

Pricing and Offering Structure of Autocallable Securities

Citigroup Global Markets Holdings Inc. priced the autocallable barrier securities on July 24, 2026, with an issue date of July 29, 2026. The securities are offered at $1,000 per unit, with an underwriting fee of $27.50 per security, resulting in net proceeds to the issuer of $972.50 per unit. The total offering comprises 349 securities, generating $349,000 in gross proceeds and $339,402.50 in net proceeds after underwriting fees. Citigroup Global Markets Inc. acts as the sole underwriter and principal in the distribution, holding an affiliate relationship to the issuer.

The pricing supplement notes that on the pricing date, the estimated value of the securities was $920.00 per security—substantially below the $1,000 issue price. The filing discloses that this estimated valuation is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rates. Importantly, the disclosure clarifies that this estimated value is not an indication of actual profit to Citigroup or its affiliates, nor does it represent a price at which the underwriter or other parties may be willing to repurchase the securities after issuance. The filing also notes that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to the offering, independent of whether the securities' value increases or decreases.

Underlying Asset and Valuation Framework

The securities are linked exclusively to the performance of Space Exploration Technologies Corp., with the underlying asset defined as the closing price of its Class A common stock. The initial underlying value was established at $115.07, representing the closing value on the pricing date of July 24, 2026. The final underlying value will be determined by the closing price on the final valuation date of July 24, 2029. The filing specifies that valuation dates are subject to postponement if they do not fall on a scheduled trading day or if certain market disruption events occur.

The trigger value is set at $80.549, calculated as 70% of the initial underlying value of $115.07. This trigger value becomes critical for determining investor losses at maturity: if the final underlying value falls below this threshold, investors face a 1:1 downside participation, meaning they lose 1% of stated principal for every 1% by which the underlying value declines from the initial value. The filing emphasizes that investors may lose a significant portion, and potentially all, of their investment if the underlying depreciates substantially below the trigger level.

Automatic Early Redemption Terms and Premium Structure

A key feature of these securities is the potential for automatic early redemption prior to maturity. If the closing value of the underlying on July 27, 2027—the single valuation date prior to final maturity—is greater than or equal to the initial underlying value of $115.07, the securities will be automatically redeemed on the third business day following that date. Upon automatic redemption, investors receive $1,200 per security: the $1,000 stated principal amount plus a 20% premium ($200 per security).

The filing underscores an important trade-off inherent in the autocallable structure: if securities are automatically redeemed following the July 2027 valuation date, investors cease to own the securities and forfeit any opportunity to participate in subsequent appreciation of the underlying at the enhanced upside participation rate of 285%. This means the 20% premium effectively caps the investor's potential return if early redemption occurs, regardless of how much the underlying asset appreciates between the redemption date and the original maturity date.

Payment at Maturity and Upside Participation Structure

If the securities are not automatically redeemed prior to maturity and survive until July 27, 2029, the payment structure varies based on the final underlying value relative to both the initial value and the trigger value. If the final underlying value exceeds the initial underlying value, investors receive $1,000 plus a "return amount" calculated as $1,000 multiplied by the underlying return multiplied by an upside participation rate of 285%. This enhanced participation rate effectively amplifies gains: for every 1% the underlying appreciates above the initial value, the investor captures 2.85% of that appreciation.

Conversely, if the final underlying value is less than or equal to the initial value but remains at or above the trigger value of $80.549, the investor receives precisely $1,000—the stated principal amount with no premium or return. If the final underlying value falls below the trigger value, the investor faces losses on a dollar-for-dollar basis. The underlying return calculation is defined as (final underlying value minus initial underlying value) divided by the initial underlying value, and this return percentage is applied to the $1,000 principal to determine the final payment. The filing cautions that under this scenario, investors may receive significantly less than the stated principal amount, and possibly nothing.

Credit Risk and Guarantee Structure

All payments on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of the issuer. However, the filing makes clear that this guarantee does not eliminate credit risk: all obligations remain dependent on the creditworthiness of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The securities are explicitly stated to be unsecured debt obligations, meaning they are not backed by collateral and rank as general unsecured claims against the issuer.

The disclosure emphasizes that investors must accept the risk of non-payment if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations. Unlike conventional debt securities that typically guarantee repayment of principal at maturity, these autocallable securities offer no such guarantee. The principal repayment is contingent not only on the issuer's ability to pay but also on the performance of the underlying Space Exploration Technologies Corp. Class A stock. This dual risk structure—combining credit risk with market risk—represents a material consideration for potential investors.

Structural Risks and Absence of Interest Payments

The filing underscores that these securities differ fundamentally from conventional debt instruments in multiple ways. Most notably, the securities do not pay periodic interest, depriving investors of steady income streams. Instead, all returns depend on the underlying asset's performance and the autocallable redemption mechanics. Additionally, the securities do not guarantee repayment of principal at maturity, unlike standard fixed-income securities. This absence of guaranteed principal return distinguishes them as equity-linked derivatives rather than traditional bonds.

Investors also bear liquidity risk: the filing states that the securities will not be listed on any securities exchange, limiting the availability of secondary market trading. The absence of exchange listing may make it difficult or impossible to liquidate positions before maturity. The filing notes that the estimated value of $920 per security is not an indication of any price at which the underwriter or other parties may be willing to buy the securities, implying that secondary market access is uncertain and potentially unavailable. Combined with the restricted market for these structures, investors must be prepared to hold the securities to maturity or maturity-like events, accepting both market and credit risk throughout the holding period.

Dividend and Downside Exposure Considerations

Despite the securities' linkage to Space Exploration Technologies Corp. Class A stock, investors do not receive any dividends with respect to the underlying. This means that even if the underlying asset generates shareholder distributions, security holders derive no benefit from such payments. Any return to investors is strictly tied to price appreciation (or depreciation) of the Class A shares and the autocallable mechanics, with no income component from corporate distributions.

The downside participation structure represents a material asymmetry in the risk-return profile. While the securities offer enhanced upside participation of 285% if the underlying appreciates, investors face unprotected downside exposure if the underlying depreciates. Below the trigger value of $80.549, the investor participates in losses on a 1:1 basis—meaning a 10% decline in the underlying results in a 10% loss of stated principal. The filing explicitly warns that investors "may lose a significant portion, and up to all, of [their] investment." This downside exposure is unmitigated by any floor or put protection, creating asymmetric payoff risk unfavorable to the investor in declining markets.

Regulatory Status and Important Disclosure Caveats

The pricing supplement discloses that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved the securities or determined whether the pricing supplement, product supplement, prospectus supplement, and prospectus are truthful or complete. This standard regulatory disclaimer is accompanied by a notice that any representation to the contrary constitutes a criminal offense. The securities are not bank deposits and carry no insurance or guarantee from the Federal Deposit Insurance Corporation or any other governmental agency.

The filing emphasizes that investors must read the pricing supplement together with the accompanying product supplement (EA-02-12, dated February 25, 2026), the prospectus supplement, and the prospectus (each dated February 25, 2026) to obtain a complete understanding of the securities' terms and risks. The product supplement contains material information regarding how the closing value of the underlying will be determined and how adjustments may be made to the terms upon market disruption events or other specified occurrences. The filing notes that important terms used in the pricing supplement are defined in the accompanying product supplement and that investors should consult those documents before making investment decisions.

Distribution and Secondary Market Considerations

Citigroup Global Markets Inc. serves as the sole principal underwriter for the offering, and additional compensation mechanisms exist beyond the stated underwriting fee. The pricing supplement discloses that in addition to the $27.50 per-security underwriting fee, Citigroup Global Markets Inc. will pay electronic platform providers a fee of $1.50 for each security sold where related selected dealers and custodians utilize such platforms. This arrangement creates additional revenue streams beyond the underwriting spread and may affect distribution incentives among dealers and custodians participating in the offering.

The absence of exchange listing and the limited secondary market transparency create potential challenges for investors seeking liquidity. The pricing supplement does not disclose any dealer commitment to maintain secondary market making, and the wide gap between the estimated value ($920) and the issue price ($1,000) at inception suggests that secondary market purchases at near-par pricing are unlikely. Investors should assume that these securities are illiquid instruments suitable only for investors planning to hold them to maturity or until automatic early redemption occurs.