Citigroup Issues Callable Equity-Linked Securities Tied to Three Stock Indexes With Contingent Coupon Structure

Multi-Index Equity Linkage Structure Concentrates Risk on Weakest Performer

The securities are structured to track the performance of three major equity indexes simultaneously, with all payments and returns determined by the worst-performing underlying among the Nasdaq-100 Index, Russell 2000 Index, and S&P 500 Index. This design means that investors bear downside exposure to whichever index experiences the largest decline from its pricing-date value, effectively concentrating risk on the weakest link in the portfolio. The filing states that investors will not receive dividends with respect to any underlying nor participate in appreciation of any underlying, limiting the benefit of positive price movements while maintaining full exposure to negative performance.

The initial underlying values were established as of the pricing date of July 24, 2026, with the Nasdaq-100 Index valued at 28,128.34, the Russell 2000 Index at 2,929.999, and the S&P 500 Index at 7,411.98. Both the coupon barrier value and the final barrier value for each index are set at 70% of their respective initial underlying values, establishing the threshold below which contingent coupon payments cease and principal repayment becomes subject to calculation based on the underlying return. This dual-barrier structure creates a significant decline threshold before investors experience losses beyond the loss of coupon income.

Contingent Coupon Mechanism Depends Entirely on Barrier Maintenance

The securities offer contingent coupon payments scheduled monthly on the third business day following each of 40 valuation dates stretching from August 24, 2026, through October 24, 2029. Each contingent coupon payment equals 1.0417% of the stated principal amount if and only if the closing value of the worst-performing underlying on the immediately preceding valuation date remains greater than or equal to its coupon barrier value. The disclosure specifies that if the closing value of the worst performing underlying on any valuation date falls below its coupon barrier value, investors will receive no contingent coupon payment on the following payment date, effectively suspending income for that period.

The approximately 12.50% annualized coupon rate represents the potential return if all 40 contingent coupon payments are received in full over the nearly three-year holding period. However, the filing emphasizes that this represents only the potential yield and that actual yields may be substantially lower because coupon payments depend entirely on the worst-performing index remaining above its barrier. The structure creates a binary outcome for each payment date: investors receive the full contingent coupon or nothing at all, with no graduated scaling based on how close the worst-performing underlying comes to breaching its barrier.

Principal Repayment at Maturity Incorporates Worst-Performer Return Calculation

At maturity on October 29, 2029, investors will receive either full principal repayment of $1,000 per security or a reduced amount based on the final underlying value of the worst-performing index, depending on whether that value remains above or below its final barrier value. If the final underlying value of the worst-performing underlying on October 24, 2029, the final valuation date, is greater than or equal to its final barrier value of 70% of initial value, investors receive the full $1,000 stated principal amount plus any applicable final contingent coupon payment. Conversely, if the final underlying value falls below the final barrier value, investors receive $1,000 plus the underlying return of the worst-performing underlying, calculated as a percentage of initial value.

The filing warns that this calculation could result in repayment of significantly less than the stated principal amount and "possibly nothing" at maturity if the worst-performing underlying experiences sufficient decline. Specifically, if the worst-performing index declines more than 70% from its pricing-date value, the underlying return becomes negative, and the maturity payment would be reduced accordingly. Additionally, the disclosure states that if final barrier breach occurs and the underlying return is negative, investors will not receive any contingent coupon payment at maturity, compounding the loss of principal with the loss of final-period income.

Issuer Retains Early Redemption Rights Beginning January 2027

Citigroup Global Markets Holdings Inc. reserves the right to call the securities for mandatory redemption on any potential redemption date specified in the offering, beginning with the contingent coupon payment date related to the January 25, 2027, valuation date and continuing through September 24, 2029. The issuer must provide not less than three business days' notice before exercising this call right. Upon redemption, investors receive $1,000 per security plus any related contingent coupon payment due on the redemption date, effectively capping upside at par value while the issuer retains the ability to terminate the securities if market conditions become unfavorable.

This call feature creates asymmetry in the investment structure: if equity markets rise significantly and index values appreciate well above initial levels, the issuer can redeem the securities at $1,000 plus accrued coupons, preventing investors from capturing gains beyond the coupon income already received. The potential redemption dates begin approximately six months into the security's life, establishing a window during which the issuer can act based on index performance and interest rate conditions. Investors have no corresponding redemption or early exit rights, creating illiquidity despite the potential for early termination of their position.

Valuation Premium Over Issue Price Signals Hedging Costs and Market Risk

The pricing supplement discloses that on the pricing date of July 24, 2026, Citigroup Global Markets Inc.'s estimated value of the securities was $984.10 per security, below the $1,000 issue price. This $15.90 per-security valuation gap reflects the costs associated with structuring, hedging, and distributing the securities. The filing explicitly states that this estimated value "is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance." This language indicates that investors purchasing at par should expect the secondary market value to be lower, at least initially.

The gross proceeds to the issuer were $21,373,332.00 on a total offering of approximately $21.5 million in gross proceeds, after deducting the $150,668.00 total underwriting fee of $7.00 per security. In addition to this underwriting fee, the disclosure notes that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to the offering, even if the value of the securities declines. The filing also mentions that Citigroup Global Markets Inc. will pay electronic platform providers up to $1.50 per security for certain distribution channels, creating additional costs embedded in the offering structure.

Credit Risk Concentrated in Citigroup Entities With Full Guarantee

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the direct issuer, and Citigroup Inc., which provides an unconditional and full guarantee of all obligations. The securities are unsecured debt obligations, meaning they are not backed by specific collateral and rank as general unsecured debt claims. The disclosure emphasizes that investors in the securities must be willing to accept "the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations," establishing credit risk as a material factor alongside equity-index performance risk.

The filing further clarifies 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 any bank other than through Citigroup Inc.'s explicit guarantee. This distinction matters because it removes any potential assumption of deposit-insurance protection or banking-system support. Investors relying on Citigroup Inc.'s creditworthiness must conduct independent credit analysis, particularly given the extended maturity date of October 29, 2029, which spans nearly three and one-half years from the pricing date.

Monthly Valuation Schedule Extends Through Final Measurement in October 2029

The securities incorporate 40 scheduled valuation dates occurring monthly, with the exception of adjustments for weekends and market disruptions. Valuation dates commence on August 24, 2026, and continue monthly through the final valuation date of October 24, 2029. Contingent coupon payment dates follow three business days after each valuation date, with the exception that the contingent coupon payment date following the final valuation date coincides with the maturity date of October 29, 2029. The disclosure notes that any valuation date is "subject to postponement if such date is not a scheduled trading day or certain market disruption events occur," providing flexibility for extraordinary market conditions.

The monthly measurement frequency creates a continuous reassessment of the worst-performing underlying throughout the security's life. Because the worst performer is determined independently on each valuation date based on underlying returns from the pricing date, the identity of which index is worst-performing can change month to month. This means that an investor who begins holding securities while the Russell 2000 is the worst performer may experience a shift to the Nasdaq-100 or S&P 500 as the worst performer in subsequent months, changing the specific source of risk but maintaining consistent downside exposure to whichever index trails most severely.

No Secondary Market Liquidity and No Exchange Listing Provided

The disclosure explicitly states that "the securities will not be listed on any securities exchange," establishing that there is no organized trading venue for the instruments after issuance. The filing warns investors that they must be willing to accept "an investment that may have limited or no liquidity," acknowledging that secondary market trading opportunities may be extremely restricted or unavailable. This liquidity constraint means that investors unable or unwilling to hold the securities to maturity may face significant difficulty liquidating their positions, potentially at substantial discounts to fair value if a buyer can be located.

The illiquidity constraint combines with the issuer's early redemption rights to create information asymmetry: the issuer can exit the securities on any potential redemption date beginning January 2027, while investors have no corresponding redemption rights and may be unable to exit even if market conditions become unfavorable. This structure favors the issuer's flexibility while constraining investor optionality, particularly important given the extended three-and-one-half-year maturity and the potential for significant index declines that could be ameliorated by early exit at a value greater than final maturity payout.

Summary Risk Factors Highlight Unfavorable Risk-Return Dynamics

The pricing supplement directs investors to "Summary Risk Factors" beginning on page PS-6, emphasizing that investing in these securities involves risks not associated with conventional debt securities. The filing repeatedly warns that investors "must be willing to accept" multiple layers of risk: the possibility that actual yield may be lower than yields on conventional debt due to contingent coupon non-payment, the possibility that maturity value may be significantly less than principal, and the specific risk that final payment at maturity could be zero. These risk acknowledgments appear prominently in the offering terms, suggesting that the issuer views the securities as appropriate only for investors with substantial risk tolerance and specific investment objectives.

The worst-performer structure concentrates all downside exposure into a single measurement point—whichever of three major indexes declines most severely—while eliminating any possibility of offsetting gains from stronger performers. This creates a negatively skewed return profile where large adverse moves in any single index eliminate positive returns from other indexes. Combined with the absence of dividend participation and the capped upside through the early redemption feature, the structure appears designed to benefit from elevated volatility while limiting investor upside capture, pricing risks asymmetrically in the issuer's favor.