Citigroup Issues Autocallable Securities Linked to Three Major Market Indices Due 2031

Structured Product Design and Automatic Redemption Mechanics

The securities represent a specialized structured product that combines characteristics of conventional debt with exposure to equity index performance. Unlike traditional bonds that make periodic interest payments, these notes provide no coupon payments and instead offer returns solely through potential premium redemptions or principal repayment at maturity. The filing states that the securities will provide for automatic early redemption at a premium following any valuation date prior to the final maturity date if the worst-performing underlying closes at or above its initial underlying value on that date.

The premium schedule increases progressively across nine valuation dates spanning the five-year term. The filing discloses premiums ranging from 14 percent of stated principal amount at the first valuation date on July 26, 2027, escalating to 70 percent at the final valuation date on July 23, 2031. Once the securities are automatically redeemed on any valuation date, they cease to be outstanding and investors forfeit the opportunity to receive premiums available on any subsequent dates. This structure creates an incentive for early redemption but eliminates upside participation in the indices beyond the redemption event.

Multi-Index Linkage and Worst-Performing Underlying Determination

The securities are linked to three major U.S. equity indices with initial underlying values established on the pricing date of July 23, 2026. The filing specifies the Dow Jones Industrial Average at 51,711.65, the Russell 2000 Index at 2,940.163, and the S&P 500 Index at 7,408.30. Critically, investor returns depend entirely on the worst-performing index among the three, meaning that even strong performance by two indices provides no benefit if the third index declines significantly. This multi-index linkage creates a risk that investors must navigate carefully when evaluating their portfolio exposure.

The underlying return for each index is calculated as its closing value on a valuation date minus its initial underlying value, expressed as a percentage. The worst-performing underlying on any given date is determined as the index with the lowest underlying return as of that date. This determination mechanism means that the composition of the worst performer may change across valuation dates. Investors will be subject to risks associated with each underlying and will be negatively affected by adverse movements in any one of them, regardless of the performance of the other two indices. The filing emphasizes that although investors have downside exposure to the worst-performing underlying, they will not receive dividends with respect to any underlying or participate in any appreciation of any underlying.

Downside Protection Thresholds and Barrier Levels

The securities include specified final barrier values designed to delineate the point at which investors begin experiencing principal loss. The filing establishes these barrier levels at exactly 75 percent of each underlying's initial underlying value: Dow Jones Industrial Average at 38,783.738, Russell 2000 Index at 2,205.122, and S&P 500 Index at 5,556.225. If the worst-performing underlying closes above its initial value at maturity, investors receive the stated principal amount plus the 70 percent premium. If the worst-performing underlying falls below its initial value but remains at or above the barrier level, investors receive the stated principal amount with no premium.

However, if the worst-performing underlying declines below its barrier level at the final valuation date, investors face substantial losses. The filing states that investors will lose 1 percent of stated principal amount for every 1 percent by which the final underlying value falls below the initial underlying value. This loss mechanism creates unlimited downside exposure below the barrier, potentially resulting in significant erosion of capital. The filing explicitly cautions that if the securities are not automatically redeemed prior to maturity and the final underlying value of the worst-performing underlying falls below its final barrier value, investors will receive significantly less than the stated principal amount and possibly nothing at maturity.

Offering Terms and Pricing Details

The securities were priced at $1,000 per security with a total offering size of $16.384 million, representing 16,384 individual securities. Citigroup Global Markets Inc., an affiliate of the issuer, acted as the underwriter and principal distributor. The filing discloses an underwriting fee of $3.50 per security, totaling $57,344, with net proceeds to the issuer of $996.50 per security or $16,326,656 in aggregate. These pricing mechanics establish the baseline investment amount and the compensation structure for distribution of the securities.

The pricing supplement notes that on the date of filing, the estimated value of the securities was $986.90 per security, which is less than the $1,000 issue price. The filing clarifies that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate and is not an indication of actual profit to the underwriter or other affiliates, nor is it an indication of the price at which the underwriter or any other person may be willing to purchase the securities from investors at any time after issuance. Additionally, the filing discloses that Citigroup Global Markets Inc. will pay to electronic platform providers a fee of up to $1.00 for each security sold where related dealers and custodians utilize such providers.

Valuation Schedule and Maturity Framework

The securities feature nine scheduled valuation dates beginning approximately one year after issuance and continuing through the final maturity date. The filing establishes valuation dates at July 26, 2027, January 24, 2028, July 24, 2028, January 23, 2029, July 23, 2029, January 23, 2030, July 23, 2030, January 23, 2031, and the final valuation date on July 23, 2031. All valuation dates are subject to postponement if the scheduled date is not a trading day or if certain market disruption events occur, introducing potential timing uncertainty into the redemption calendar.

Unless the securities are automatically redeemed prior to maturity on any of the first eight valuation dates, they will remain outstanding through July 28, 2031, the stated maturity date. The filing indicates that if automatic redemption occurs, investors receive cash payment of $1,000 plus the applicable premium within three business days following the valuation date on which the triggering condition is satisfied. The relatively compressed timeframe between determination and payment minimizes settlement risk but requires investors to understand the periodic nature of the redemption evaluation process.

Credit Risk and Issuer Guarantees

All payments due on the securities are guaranteed by Citigroup Inc., the parent company of Citigroup Global Markets Holdings Inc., the issuer. The filing emphasizes that investors are subject to risks associated with the credit quality of both the direct issuer and the guarantor. All payments on the securities, including principal repayment at maturity and any premium payments, are contingent upon Citigroup's ability to meet its obligations. If either the issuer or the guarantor defaults on its obligations, investors may receive no payments whatsoever, regardless of the performance of the underlying indices.

The filing specifically notes that the securities are unsecured debt obligations and are not bank deposits or insured by the Federal Deposit Insurance Corporation or any other governmental agency. Investors must evaluate their willingness to accept the full credit risk of one of the world's largest financial institutions. The filing cautions that investors in the securities must be willing to accept an investment that may have limited or no liquidity and the risk of not receiving any payments due under the securities if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations.

Liquidity and Secondary Market Considerations

The filing discloses that the securities will not be listed on any securities exchange, meaning investors will not have access to a regulated public secondary market for trading. This structure creates significant liquidity constraints for investors who may need or wish to exit their positions prior to the scheduled maturity date or automatic redemption. Any secondary market trading would be conducted in the over-the-counter market, if at all, and the filing emphasizes that this is a potential limitation of the investment.

The pricing supplement indicates that the estimated value of the securities at issuance is substantially lower than the issue price, suggesting that a prospective buyer in the secondary market would likely demand a significant discount to the original purchase price if an investor attempted to sell. The filing cautions that the estimated value is not an indication of the price at which Citigroup Global Markets Inc. or any other party would be willing to purchase the securities from investors. This lack of guaranteed liquidity and secondary market pricing transparency represents a material consideration for investors evaluating their ability to adjust their portfolio positions.

Dividend and Appreciation Participation Restrictions

The filing specifies that investors will not receive dividends with respect to any of the underlying indices, even if the Dow Jones Industrial Average, Russell 2000 Index, or S&P 500 Index pay dividends during the holding period. This restriction is significant because equity indices and their constituent companies regularly distribute dividends to holders of the actual securities. By holding these structured notes instead of directly owning index funds or exchange-traded funds, investors forgo all dividend income that would otherwise be available through direct equity ownership.

Additionally, investors will not participate in any appreciation of the underlying indices beyond the predetermined premium percentages available on specific valuation dates. This participation cap distinguishes the securities from owning the actual indices or equity funds. If an underlying index appreciates significantly between valuation dates, or if two indices appreciate substantially while only the third declines, investors receive no benefit from that appreciation. The combination of no dividend participation and capped appreciation creates a return profile that materially differs from conventional equity investments despite the equity index linkage.

Risk Concentration and Multiple Index Exposure

The reliance on the worst-performing underlying creates a specific and significant risk concentration for investors. While the securities provide exposure to three major indices representing different market segments—large-cap equities through the S&P 500, small-cap equities through the Russell 2000, and a price-weighted portfolio through the Dow Jones Industrial Average—the protection benefit accrues only if all three indices perform adequately at maturity. A scenario in which the Russell 2000 declines 30 percent while the S&P 500 and Dow Jones Industrial Average remain relatively flat would result in substantial principal loss despite the strong performance of two-thirds of the underlying indices.

The filing emphasizes that investors will be negatively affected by adverse movements in any one of the underlyings. This construction means that portfolio diversification benefits normally associated with multi-index exposure do not apply to the downside. Investors essentially accept one-way correlation risk on the downside while forgoing diversification benefits. The potential for basis risk also exists if the three indices move independently in ways that are unfavorable to the worst-performing underlying, concentrating exposure to the weakest performer at critical valuation dates.

Hedging Activities and Issuer Profit Mechanisms

The filing discloses that in addition to the underwriting fee of $3.50 per security, Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to the offering, even if the value of the securities declines. This statement acknowledges that the issuer and its affiliates will enter into hedging transactions to manage their exposure to the underlying indices and create a position that offsets their liability on the issued securities. These hedging profits are separate from and independent of the fee-based compensation and may represent a substantial source of revenue to the issuer.

The existence of hedging profits creates a structural conflict of interest: the issuer benefits financially if the securities decline in value and investors experience losses. While this is not unusual in structured product issuance, it represents an important dynamic for investors to understand. The issuer has no economic incentive to see the securities perform well after issuance, and the pricing of the securities reflects the issuer's expectation of profitable hedging activity. The filing's disclosure of this relationship is intended to ensure investor awareness of the financial incentives at play throughout the security's life.