Citigroup Issues Barrier Securities Linked to S&P 500 Futures Index with 260% Upside Participation

Structure and Payment Mechanics of the Barrier Securities

The securities issued by Citigroup Global Markets Holdings Inc. represent a complex structured product that deviates significantly from conventional debt instruments. Unlike traditional bonds that pay regular interest and return a fixed principal amount, these Medium-Term Senior Notes offer a maturity payment that varies based on the performance of the underlying index. The disclosure states that investors will not receive any interest payments, and the principal repayment is contingent on the final valuation of the S&P 500 Futures 35% Edge Volatility 6% Decrement Index.

The payment structure incorporates three distinct scenarios at maturity. If the final underlying value exceeds the initial underlying value, investors receive $1,000 plus a return amount calculated by multiplying $1,000 by the underlying return and the 260% upside participation rate. If the final underlying value is less than or equal to the initial value but remains at or above the final barrier value of 50% of the initial underlying value, investors receive the full $1,000 stated principal amount. However, if the final underlying value falls below the 50% barrier level, investors experience full downside exposure, receiving $1,000 plus the full underlying return with no floor protection, which could result in substantial losses or total capital loss.

Underlying Index Characteristics and Risk Factors

The securities are linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index, a specialized index that tracks futures contracts on the S&P 500 Index rather than the index itself. The filing emphasizes that this underlying index carries substantial structural risks that investors must carefully evaluate. The index incorporates a 6% annual decrement, which the disclosure describes as a significant drag on performance over the security's five-year term.

The disclosure indicates that the S&P 500 Futures Excess Return Index, which forms the basis of the underlying, is likely to underperform the traditional S&P 500 Index due to an implicit financing cost embedded in futures contracts. Additionally, the index structure reflects 35% edge volatility characteristics, which may result in highly leveraged exposure to declines in the S&P 500 Index. The filing states that the underlying is highly risky and investors should carefully review the summary risk factors section before investing, particularly those relating to the index's structure and the potential for underperformance relative to the cash S&P 500 Index.

Guarantee Structure and Credit Risk Considerations

All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of the issuer. This guarantee structure means that investors' recovery in the event of default depends on Citigroup Inc.'s ability and willingness to meet its obligations. The disclosure explicitly states that all payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., underscoring that investors bear the counterparty risk associated with both entities.

The filing notes 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 distinction is crucial for investors accustomed to traditional bank products, as it clarifies that these structured notes lack the safety mechanisms typical of federally insured banking products. The guarantee from Citigroup Inc. represents the sole source of credit protection for investors, making the parent company's financial stability a critical consideration in the investment decision.

Participation Rate and Upside Features

The securities offer investors a 260% upside participation rate, meaning that for every 1% increase in the underlying index, investors receive a return equivalent to 2.6% of the stated principal amount. This elevated participation rate represents a significant feature designed to attract investors seeking leveraged exposure to index performance. The return amount is calculated by multiplying $1,000 by the underlying return, defined as the change from the initial underlying value to the final underlying value expressed as a percentage, and then multiplying by the 260% participation rate.

This enhanced upside participation comes as compensation for investors accepting the product's structural features, including the lack of dividend participation and the contingent nature of principal repayment. The filing stresses that investors must be willing to forgo any dividends with respect to the underlying in exchange for these modified exposure features. The 260% participation rate applies only to positive returns; investors receive no additional benefit if the underlying appreciates modestly, as the calculation simply applies the participation rate to all positive returns above the initial value.

Barrier Level Protection and Downside Exposure

The securities incorporate a barrier feature set at 50% of the initial underlying value, which provides conditional principal protection but only under specific circumstances. The disclosure explains that as long as the final underlying value is greater than or equal to the 50% barrier level, investors receive the full stated principal amount of $1,000 at maturity, regardless of any losses in the underlying index between the initial and final valuations. However, this protection is contingent; it only applies if the final underlying value does not breach the barrier level.

If the final underlying value falls below the 50% barrier level, investors lose the principal protection floor entirely and face full downside exposure. The filing states plainly that investors will lose 1% of the stated principal amount for every 1% by which the final underlying value is less than the initial underlying value, and that investors may lose their entire investment. For example, if the underlying depreciates by 50% or more from its initial value, investors could receive nothing at maturity. This asymmetric risk structure means the barrier provides meaningful protection only in scenarios where losses are moderate, while severe market declines result in magnified losses to investors.

Terms, Dates, and Valuation Schedule

The securities carry specific dates that structure the investment timeline and determine payoff calculations. The pricing date is August 4, 2026, the issue date is August 7, 2026, and the maturity date is August 7, 2031, establishing a five-year term for the investment. The valuation date, when the final underlying value is determined for calculating the maturity payment, is August 4, 2031, subject to postponement if that date is not a scheduled trading day or if certain market disruption events occur.

The initial underlying value, which serves as the baseline for calculating returns, is the closing value of the S&P 500 Futures 35% Edge Volatility 6% Decrement Index on the pricing date of August 4, 2026. The final underlying value is the closing value of the same underlying on the valuation date of August 4, 2031. The filing indicates that the stated principal amount for each security is $1,000, and the final barrier value is established at 50% of the initial underlying value. These precise definitions are critical for investors to understand exactly how their returns will be calculated and when valuation occurs.

Issue Price, Underwriting Fees, and Distribution Details

The securities carry an issue price of $1,000 per security, with Citigroup Global Markets Inc. serving as the underwriter and acting as principal in the distribution. An underwriting fee of $50 per security is charged, resulting in net proceeds to the issuer of $950 per security. The filing notes that this pricing represents a traditional underwriting structure where the underwriter purchases securities from the issuer at a discounted price and resells them to investors at the full issue price. The total underwriting fee and total proceeds figures were not disclosed in the pricing supplement at the time of filing.

Beyond the stated underwriting fee, Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines after issuance. Additionally, Citigroup Global Markets Inc. will pay to electronic platform providers a fee of $1.50 for each security sold where selected dealers or custodians implement or utilize such providers. The disclosure indicates that the securities will not be listed on any securities exchange, limiting liquidity options for investors who may wish to buy or sell the notes after issuance. The CUSIP is 17334CBV5 and the ISIN is US17334CBV54.

Valuation and Estimated Value Assessment

The filing discloses that Citigroup Global Markets Holdings Inc. expects the estimated value of the securities on the pricing date to be at least $850 per security, which is substantially less than the $1,000 issue price. This $150 difference between the issue price and the estimated value represents a significant haircut and reflects the market's assessment of the intrinsic value of the structured product relative to what investors pay for it. The filing clarifies that this estimated value is based on Citigroup's proprietary pricing models and internal funding rate.

The disclosure emphasizes important caveats regarding this valuation estimate. The filing states that the estimated value is not an indication of actual profit to Citigroup Global Markets Inc. or other affiliates, nor is it an indication of the price at which Citigroup Global Markets Inc. or any other person may be willing to buy the securities from investors at any time after issuance. This language underscores that investors should not rely on the estimated value as a guide to secondary market pricing and that the wide bid-ask spread typical of structured products may make it difficult to exit the position at favorable prices.

Risks Associated with Dividend Forfeiture and Index Underperformance

A critical feature of the securities, emphasized repeatedly in the filing, is that investors will not receive any dividends with respect to the underlying S&P 500 Futures 35% Edge Volatility 6% Decrement Index. The disclosure stresses that investors must be willing to accept full dividend forfeiture in exchange for the modified exposure and participation features the securities provide. This is particularly significant for investors comparing the structured notes to a direct investment in the S&P 500 or S&P 500 futures, where dividend income represents a meaningful component of total return over a five-year period.

The filing further highlights that the S&P 500 Futures Excess Return Index, which underlies the structured index, is likely to underperform the traditional S&P 500 Index because of implicit financing costs embedded in futures contracts. Combined with the 6% annual decrement applied to the underlying index, investors face significant structural headwinds to returns. Over the five-year term, the 6% annual decrement compounds to a substantial drag, and the financing costs associated with futures contracts represent an additional performance cost. The filing directs investors to carefully review the summary risk factors section for detailed discussion of these risks before committing capital to the securities.

Liquidity Constraints and Investment Suitability Concerns

The filing identifies limited or no liquidity as a risk factor that investors must accept in purchasing the securities. The securities will not be listed on any securities exchange, meaning investors cannot easily sell their holdings on a public market. Instead, any secondary market transactions would need to be conducted through bilateral negotiations or over-the-counter channels, where pricing and availability are uncertain and likely subject to substantial bid-ask spreads. The filing stresses that investors seeking the modified exposure to the underlying must be willing to accept this liquidity constraint as an inherent feature of the investment.

The illiquidity of the securities creates compounding challenges for investors. If an investor needs to access capital before the August 7, 2031 maturity date, they would need to find a counterparty willing to purchase the securities, and any such transaction might occur at prices significantly below the estimated initial value or even the market value of the underlying index. The lack of listing on an exchange means there is no transparent, real-time pricing mechanism, making it difficult for investors to assess fair value. This structural limitation on exit options makes these securities most appropriate for investors with a clear ability and willingness to hold the investment to maturity.

Regulatory Status and Investor Disclosure Responsibilities

The pricing supplement represents a preliminary document subject to completion and is filed pursuant to Rule 424(b)(2) under the Securities Act of 1933. The underlying registration statements are numbered 333-293732 and 333-293732-02. The filing carries a standard disclaimer that the Securities and Exchange Commission and state securities commissions have not approved or disapproved the securities and have not determined whether the pricing supplement and related documents are truthful or complete. The disclosure emphasizes that any representation to the contrary would constitute a criminal offense.

Investors are directed to read the pricing supplement together with accompanying product supplement number EA-02-12 dated February 25, 2026, underlying supplement number 13 dated February 25, 2026, and the prospectus supplement and prospectus each dated February 25, 2026. These companion documents contain important disclosures regarding how the closing value of the underlying will be determined, adjustments to securities terms upon market disruption events, and detailed information about the S&P 500 Index, which forms the ultimate basis for the structured index. The filing stresses the importance of reviewing all documents comprehensively before making an investment decision.