Citigroup Issues Callable Contingent Coupon Equity Linked Securities Linked to Three Major Indices

Structure and Terms of the Contingent Coupon Securities

The securities issued by Citigroup Global Markets Holdings Inc. represent an unsecured debt obligation with a stated principal amount of $1,000 per security. The disclosure outlines that all payments on the securities are fully and unconditionally guaranteed by Citigroup Inc., providing investors with credit protection from the parent company. The offering was priced on July 24, 2026, with a settlement date of July 29, 2026, and a final maturity date of July 27, 2029. The structure creates a three-year investment vehicle with built-in contingencies tied to equity market performance.

The securities feature 35 valuation dates scheduled from August 24, 2026, through July 24, 2029, with contingent coupon payments made three business days after each valuation date. The filing indicates that valuation dates are subject to postponement if the scheduled date is not a trading day or if certain market disruption events occur. This structure provides monthly observation points for determining coupon eligibility, creating quarterly-equivalent contingent coupon payment dates throughout the security's term.

Multi-Index Worst-of-Worst Performance Mechanism

The securities employ a unique performance mechanism that tracks three major equity indices simultaneously: the Nasdaq-100 Index, Russell 2000 Index, and S&P 500 Index. On each valuation date, Citigroup determines which of the three indices has underperformed the others, establishing it as the "worst performing underlying" for that period. The initial underlying values at pricing were 28,128.34 for the Nasdaq-100 Index, 2,929.999 for the Russell 2000 Index, and 7,411.98 for the S&P 500 Index, according to closing values on the pricing date.

The coupon barrier value for each index is set at 65 percent of its initial underlying value, meaning 18,283.421 for the Nasdaq-100 Index, 1,904.499 for the Russell 2000 Index, and 4,817.787 for the S&P 500 Index. The filing discloses that investors will be subject to risks associated with each underlying and will be negatively affected by adverse movements in any single index, despite only receiving exposure to the worst performer. This structural design means that even if two indices perform well, negative performance in the third index will determine both coupon payments and principal repayment.

Contingent Coupon Mechanics and Payment Conditions

On each contingent coupon payment date, the securities will pay a contingent coupon equal to 0.9458 percent of the stated principal amount, or approximately 11.35 percent per annum on an annualized basis, but only if the worst-performing underlying's closing value on the immediately preceding valuation date is greater than or equal to its coupon barrier value of 65 percent of initial value. The filing emphasizes that if the closing value of the worst performing underlying falls below its coupon barrier value on any valuation date, investors will not receive any contingent coupon payment on the following payment date. This binary structure means that contingent coupon payments are either made in full or not at all, with no graduated or partial payments.

The disclosure notes that investors in these securities must be willing to accept the risk that their actual yield may be significantly lower than the yield on conventional debt securities of the same maturity because they may not receive one or more, or any, contingent coupon payments. The filing emphasizes that investors will not receive dividends with respect to any underlying or participate in any appreciation of any underlying. This structure creates a scenario where investors gain upside exposure through higher coupon payments only when indices remain within defined performance thresholds, while receiving no benefit from index rallies above the barrier levels.

Principal Repayment at Maturity and Barrier Testing

The filing specifies two distinct repayment scenarios at maturity, both dependent on whether the worst-performing underlying closes above or below its final barrier value of 65 percent of initial value on the final valuation date of July 24, 2029. If the final underlying value of the worst performing underlying is greater than or equal to its final barrier value, investors will receive the full stated principal amount of $1,000 per security in addition to any final contingent coupon payment. This represents the base case where at least one index has maintained sufficient performance levels throughout the three-year period.

If the final underlying value of the worst performing underlying falls below its final barrier value, investors will receive $1,000 plus the underlying return of the worst performing underlying, which could result in a payment significantly less than the stated principal amount, including potentially zero. The filing states explicitly that in this scenario, investors will not receive any contingent coupon payment at maturity. This means that an investor who received multiple contingent coupon payments throughout the three-year term could still suffer principal impairment if the worst-performing index declines more than 35 percent from its initial value by maturity, creating a scenario where contingent coupon gains could be entirely offset by principal losses.

Callable Structure and Redemption Rights

Citigroup retains the right to call the securities for mandatory redemption on any of 32 potential redemption dates, beginning with the contingent coupon payment date related to the January 25, 2027 valuation date and extending through the contingent coupon payment date related to the June 25, 2029 valuation date. The filing indicates that the issuer may exercise this call right upon providing not less than three business days' notice to security holders. Following an exercise of the call right, investors will receive cash payment equal to $1,000 plus any related contingent coupon payment due on that date.

This callable structure gives Citigroup significant flexibility to terminate the securities early if market conditions become unfavorable or if the issuer determines that the embedded hedging costs exceed the value of the embedded options. The filing does not disclose the specific economic conditions or thresholds that would trigger an early call, leaving investors uncertain as to when this right might be exercised. Investors should note that if the securities are called when the worst-performing underlying is above the coupon barrier, they would receive the full contingent coupon payment plus principal, but they would also forfeit any potential for further contingent coupon payments and any upside capture if indices rally significantly in the remaining period.

Pricing, Underwriting Fees, and Valuation at Issuance

The total offering consisted of 1,188 securities, each issued at $1,000 per security, generating gross proceeds of $1,188,000. Citigroup Global Markets Inc., an affiliate of the issuer, acted as principal underwriter and received an underwriting fee of $7.50 per security, totaling $8,910 for the offering. The net proceeds to the issuer after underwriting fees were $1,179,090, representing $992.50 per security. Additionally, the disclosure indicates that CGMI will pay to electronic platform providers a fee of up to $1.50 for each security sold where selected dealers and custodians utilize such platforms.

The filing discloses that on the date of the pricing supplement, the estimated value of the securities was $983.20 per security, which is less than the $1,000 issue price. This valuation was based on CGMI's proprietary pricing models and internal funding rates. The disclosure explicitly states that this estimated value is not an indication of actual profit to CGMI or other affiliates, nor is it an indication of the price at which CGMI or any other person may be willing to buy the securities from investors at any time after issuance. This notation indicates that investors purchasing at the $1,000 issue price would face an immediate paper loss if they attempted to sell the securities shortly after issuance.

Credit Risk and Guarantees

All payments due on the securities, including contingent coupon payments and principal repayment, are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. Although Citigroup Inc. provides a full and unconditional guarantee of all payments, the filing emphasizes that this guarantee does not eliminate credit risk. 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, nor are they obligations of, or guaranteed by, a bank.

The disclosure notes that investors must be willing to accept the risk of not receiving any payments due under the securities if Citigroup and its parent company default on their obligations. This credit consideration is particularly relevant given the three-year term of the securities, during which macroeconomic conditions and the financial position of Citigroup could change materially. Investors evaluating these securities must assess not only the equity market risks tied to the three indices but also the issuer credit risk of a major financial institution over a multi-year holding period.

Liquidity and Market Risk Disclosures

The filing clearly discloses that the securities will not be listed on any securities exchange, immediately signaling limited liquidity characteristics. The disclosure states that investors in the securities must be willing to accept an investment that may have limited or no liquidity, indicating that secondary market trading opportunities may be severely constrained or unavailable. This means that an investor seeking to exit the position before maturity or before a call date would need to arrange a transaction with Citigroup or another dealer, and pricing for such transactions may be significantly less favorable than the initial $1,000 offering price.

The filing emphasizes that investors face downside exposure to the worst performing underlying and will be negatively affected by adverse movements in any one of the three indices. Even if two indices perform strongly, a severe decline in the third index will dominate both interim contingent coupon decisions and final principal repayment calculations. This structural feature creates asymmetric risk exposure where multiple positive scenarios are negated by single negative performance, and the combination of three indices creates numerous potential paths to principal impairment.

Risks and Structural Considerations for Investors

The filing identifies multiple risk factors that investors must carefully weigh before committing capital to these securities. The worst-of-worst structure means that investors bear downside exposure to the index that performs worst relative to its peers, even if that index performs positively in absolute terms. The contingent coupon mechanism creates a scenario where investors receive higher periodic payments only during periods when the worst-performing underlying remains above its coupon barrier, but this higher income is not guaranteed and depends entirely on equity market conditions beyond investor control.

Additionally, the filing notes that investors will not receive dividends with respect to any underlying or participate in any appreciation of any underlying, despite bearing downside risk to all three indices. This structure means that if all three indices rally significantly from their initial values, investors will not benefit from this appreciation and will receive only the full principal repayment of $1,000. Conversely, if any index declines more than 35 percent, investors face principal impairment that could partially or completely offset all contingent coupon payments received during the holding period. The combination of limited upside capture, significant downside exposure, non-listed status, and credit risk creates a complex investment profile requiring thorough analysis.