Citigroup Launches $1.4 Million Autocallable Securities Linked to S&P 500 Equal Weight Index

Offering Structure and Pricing Details

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued 1,400 medium-term senior notes as part of Series N, with each security carrying a stated principal amount of $1,000. The pricing supplement indicates that the total offering raised $1.4 million in principal amount before costs. The issue price was set at $1,000.00 per security on the pricing date of July 23, 2026, with the securities formally issued on July 28, 2026. The disclosure filing notes that the estimated value of the securities at pricing was $964.60 per security, based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate assumptions.

The underwriting arrangement involved Citigroup Global Markets Inc. as principal underwriter, receiving a total underwriting fee of $30,800, representing $22.00 per security. According to the disclosure, selected dealers not affiliated with Citigroup received a selling concession of $20.00 per security and a potential structuring fee of up to $2.00 per security. The net proceeds to the issuer totaled $1,369,200.00 after underwriting fees, with per-security proceeds of $978.00. The pricing supplement also notes that Citigroup Global Markets Inc. and its affiliates may generate additional profit through hedging activities related to the offering, independent of changes in security value.

Underlying Index and Initial Valuation Parameters

The securities are linked to the performance of the S&P 500 Equal Weight Index, with the initial underlying value established at 8,585.81, representing the closing value of the index on the pricing date of July 23, 2026. This initial value serves as the baseline against which all subsequent performance calculations are measured throughout the life of the securities. The final underlying value will be determined by the closing value of the index on the final valuation date of July 23, 2031, the scheduled maturity date of the securities unless automatic early redemption occurs.

The disclosure specifies that valuation dates are subject to postponement if the scheduled date is not a trading day or if certain market disruption events occur. The pricing supplement indicates that the first valuation opportunity will occur on July 30, 2027, followed by the final valuation on July 23, 2031. Investors should note that they will not receive dividends with respect to the underlying index, a material consideration for securities structured with exposure to dividend-paying equity indexes.

Automatic Early Redemption Mechanics and Premium

The securities offer investors the opportunity for automatic early redemption if the closing value of the index equals or exceeds the initial underlying value on the valuation date prior to the final valuation date. Should this condition be met on July 30, 2027, the securities will be automatically redeemed on the third business day following that valuation date for $1,000 per security plus a premium of 9.70 percent of the stated principal amount, totaling $1,097.00 per security. The pricing supplement emphasizes that the 9.70 percent premium may be significantly less than the actual appreciation of the underlying index from the pricing date to the valuation date.

If the securities are automatically redeemed prior to maturity, they cease to be outstanding, and investors lose the opportunity to participate in any further appreciation of the underlying index. This feature introduces an important asymmetry in the securities' payoff structure: investors benefit from the premium only in the event of automatic redemption, but if the index performs sufficiently well to trigger redemption, they forgo the ability to capture larger gains through the 150 percent upside participation rate available at maturity. The disclosure filing underscores that the premium is fixed regardless of the magnitude of index appreciation.

Contingent Principal Repayment at Maturity

If the securities are not automatically redeemed prior to maturity, the payment at maturity depends entirely on the performance of the underlying index relative to the initial value and the final barrier value. The final barrier value is set at 6,868.648, equivalent to 80 percent of the initial underlying value. Should the final underlying value exceed the initial underlying value on the maturity date, investors will receive $1,000 plus a return amount calculated as $1,000 multiplied by the underlying return (expressed as a percentage) multiplied by the upside participation rate of 150 percent.

If the final underlying value is less than or equal to the initial underlying value but greater than or equal to the final barrier value, investors will receive their full stated principal amount of $1,000. However, if the final underlying value falls below the final barrier value, investors will receive $1,000 plus a return amount calculated as $1,000 multiplied by the underlying return multiplied by 100 percent. The pricing supplement explicitly warns that if the final underlying value declines below the final barrier value, investors may receive significantly less than the stated principal amount and possibly nothing at all, representing a maximum loss scenario equal to the full principal investment.

Downside Risk and Loss Scenarios

The securities expose investors to substantial downside risk not present in conventional debt instruments. For every 1 percent by which the final underlying value falls below the initial underlying value and the final barrier value, investors lose 1 percent of their stated principal amount. The pricing supplement makes clear that investors may lose a significant portion, up to the entirety, of their investment if the S&P 500 Equal Weight Index declines more than 20 percent from its initial level by the maturity date. This loss exposure exists despite the securities being classified as unsecured debt obligations of Citigroup Global Markets Holdings Inc.

The disclosure emphasizes that although investors bear downside exposure to the underlying index, they will not receive any dividend payments associated with the index. This represents an additional cost to investors relative to direct index ownership, as they forgo dividend income while maintaining full downside risk. The combination of dividend exclusion and contingent loss provisions distinguishes these securities from traditional equity or fixed-income investments and requires investors to carefully assess their tolerance for potential capital loss.

Credit Risk and Guarantor Obligations

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the issuer, and Citigroup Inc., which provides a full and unconditional guarantee of all amounts due. The pricing supplement explicitly states that the securities are unsecured obligations, meaning they are not backed by any specific collateral. In the event of default by either the issuer or guarantor, investors would be unsecured creditors and would compete with other unsecured creditors in any bankruptcy or restructuring proceeding.

The disclosure 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. Investors should recognize that the credit quality of these securities depends entirely on the financial condition of Citigroup Inc., as guarantor, and its subsidiary, the issuer. The pricing supplement states that Citigroup Global Markets Inc. is an affiliate of the issuer, creating potential conflicts of interest in the hedging and distribution of the securities.

Valuation Estimates and Secondary Market Considerations

The pricing supplement discloses that the estimated value of the securities at pricing was $964.60 per security, based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate assumptions. This estimated value is $35.40 less than the $1,000 issue price, suggesting that investors purchasing at issuance would face an immediate valuation discount of approximately 3.54 percent. The pricing supplement explicitly states that the estimated value is not an indication of actual profit to Citigroup or its affiliates, nor is it any guarantee of the price at which Citigroup Global Markets Inc. or any other person may be willing to buy the securities from investors after issuance.

The securities will not be listed on any securities exchange, indicating limited liquidity in secondary markets. Investors considering purchasing these securities should be aware that they may have difficulty selling the securities before maturity at favorable prices or at any price. The CUSIP number is 17334C7L2 and the ISIN is US17334C7L25. The pricing supplement notes that in order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to accept investments that may have limited or no liquidity and the risk of not receiving any amount due if the issuer and guarantor default on their obligations.

Risk Factors and Product Structure Considerations

The pricing supplement highlights that investing in the securities involves risks not associated with conventional debt securities. Unlike traditional debt instruments, these securities do not pay periodic interest and do not guarantee repayment of principal at maturity. The return on the securities is entirely dependent on the performance of the S&P 500 Equal Weight Index, which can be volatile and subject to significant price fluctuations. Investors bear the full risk of index movements while simultaneously being exposed to counterparty credit risk related to Citigroup Inc. and Citigroup Global Markets Holdings Inc.

The disclosure filing indicates that investors should read the pricing supplement together with the accompanying product supplement, underlying supplement, prospectus supplement, and prospectus to understand the complete terms and conditions. The product supplement contains important information about how the closing value of the underlying index will be determined and about potential adjustments to the securities' terms if market disruption events occur. The underlying supplement provides additional information about the S&P 500 Equal Weight Index that is not repeated in the pricing supplement. The filing emphasizes the importance of reviewing all accompanying documentation before making an investment decision.

Distribution Arrangement and Sales Concessions

The offering was distributed through Citigroup Global Markets Inc. as principal underwriter, with selected dealers not affiliated with Citigroup receiving compensation through selling concessions and structuring fees. Each non-affiliated dealer selling the securities received a selling concession of $20.00 per security and a potential structuring fee of up to $2.00 per security from the underwriting fee. The pricing supplement indicates that Citigroup Global Markets Inc. may also pay fees to electronic platform providers for each security sold where related dealers and custodians implement or utilize such platforms.

The total underwriting fees and proceeds in the offering were structured to provide incentives for dealer participation in distribution while maintaining profitability for the affiliate underwriter. The disclosure notes that from the underwriting fee of $22.00 per security, the $20.00 selling concession and up to $2.00 structuring fee were paid to selected dealers, with the remainder retained by Citigroup Global Markets Inc. The tiered compensation structure reflects standard market practices for structured product offerings but represents a material cost deducted from investor principal at issuance.