Citigroup Launches Autocallable Securities Linked to Euro Stoxx 50 and Russell 2000 Indices

Structure of the Autocallable Securities Offering

The pricing supplement discloses that Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued unsecured Medium-Term Senior Notes, Series N, with a stated principal amount of $1,000 per security. The securities are linked to two underlying indices: the EURO STOXX 50 Index with an initial underlying value of 6,280.94, and the Russell 2000 Index with an initial underlying value of 2,929.999. The final barrier values, set at 65% of the initial underlying values, are 4,082.611 for the EURO STOXX 50 Index and 1,904.499 for the Russell 2000 Index. All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., addressing a critical credit consideration for investors evaluating the offering.

Unlike conventional debt securities, these notes do not pay periodic interest and do not guarantee repayment of principal at maturity. Instead, the return profile depends entirely on the performance of the worst-performing underlying index from the pricing date of July 24, 2026, through the maturity date of July 29, 2031. The securities will be subject to 19 scheduled valuation dates, beginning April 26, 2027, and concluding on the final valuation date of July 24, 2031, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. This structure exposes investors to risks associated with both underlying indices simultaneously, with losses driven by whichever index performs worst.

Automatic Early Redemption and Premium Structure

The filing describes a tiered premium schedule that incentivizes early redemption and increases over time. If the closing value of the worst-performing underlying on any valuation date prior to the final valuation date is greater than or equal to its initial underlying value, the securities will be automatically redeemed on the third business day immediately following that valuation date. The investor would receive $1,000 plus the applicable premium for that valuation date. The premium percentages escalate from 9% of the stated principal amount on April 26, 2027, to 39% on October 24, 2029, with intermediate premiums of 12%, 15%, 18%, 21%, 24%, 27%, 30%, 33%, and 36% on subsequent valuation dates through July 24, 2030. This structure means that the longer the securities remain outstanding without automatic redemption, the higher the potential payoff if either index recovers to or exceeds its initial level.

Critically, if the securities are automatically redeemed following any valuation date prior to the final valuation date, they cease to be outstanding and investors will not receive the premium applicable to any later valuation date. This feature creates a trade-off: early redemption locks in gains but forecloses the possibility of receiving a higher premium if the indices continue to perform well. The filing explicitly states that the premium may be significantly less than the appreciation of any underlying from the pricing date to the applicable valuation date, highlighting the structural caps embedded in the offering design.

Maturity Outcomes and Downside Risk Exposure

The filing sets forth three distinct payment scenarios at maturity if the securities are not automatically redeemed prior to the final valuation date. If the final underlying value of the worst-performing underlying on July 24, 2031, is greater than or equal to its initial underlying value, investors will receive $1,000 plus the premium applicable to the final valuation date. If the final underlying value is less than the initial value but greater than or equal to the final barrier value of 65% of the initial value, investors will receive the stated principal amount of $1,000 with no premium. However, if the final underlying value is less than the final barrier value, investors face the most severe outcome: they will receive $1,000 plus a loss equal to 1% of the stated principal amount for every 1% by which the final underlying value is less than the initial underlying value.

This downside structure means that if either index falls more than 35% from its initial level, investors will incur losses exceeding the recovery threshold. For example, if the worst-performing underlying declines 50% from its initial value, investors would receive only $500 per security at maturity. The filing emphasizes that investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity" under the worst-case scenario. Additionally, the disclosure notes that investors will have no dividend participation rights with respect to any underlying and will not participate in any appreciation of any underlying, further limiting potential returns while maintaining full downside exposure to the worse-performing index.

Valuation and Pricing Considerations

The filing discloses that on the date of the pricing supplement, July 24, 2026, the estimated value of the securities is $962.10 per security, which is lower than the issue price of $1,000. This estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate and is explicitly not an indication of actual profit to Citigroup Global Markets Inc. or other affiliates, nor is it an indication of the price at which any affiliated entity may be willing to purchase the securities from investors after issuance. The disclosure further cautions that secondary market liquidity may be limited or nonexistent, adding another layer of risk for investors considering this offering.

The underwriting fee structure totals $55,746.00 across the entire offering, with a per-security underwriting fee of $28.50. The proceeds to the issuer total $1,900,254.00, representing 97.14% of gross proceeds. For investors in fee-based advisory accounts, the issue price is reduced to $971.50 per security, reflecting a different pricing structure for advisory clients. Additionally, Citigroup Global Markets Inc. will pay electronic platform providers a fee of up to $1.00 for each security sold through such providers. The filing notes that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines, introducing a potential conflict of interest where the underwriter benefits from adverse price movements.

Risks Associated with Worst-Performing Index Construction

The structure of linking returns to the worst-performing of two indices introduces compounded risk that extends beyond exposure to either index independently. Investors will be negatively affected by adverse movements in any one of the two underlyings, meaning that even if one index performs adequately, deterioration in the other index will determine the outcome. The filing states explicitly that "you will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in any one of the underlyings." This worst-of structure effectively locks investors into the poorest performance path, eliminating any diversification benefit that might otherwise come from exposure to two indices.

The EURO STOXX 50 Index, comprised of large-cap European equities, carries currency and geopolitical risks associated with European markets. The Russell 2000 Index, representing small-cap U.S. equities, carries liquidity and volatility risks inherent to smaller companies. The combined effect of monitoring two disparate indices creates asymmetric risk where the correlation between indices may amplify losses during systemic market stress. If both indices decline simultaneously—a scenario that could occur during a broad equity market downturn—investors would face losses from the worst-performing index without any offset from the better-performing index.

Credit Risk and Guarantee Structure

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the issuer, and Citigroup Inc., the guarantor. While the full and unconditional guarantee from Citigroup Inc. provides creditworthiness assurance, the filing warns investors that they 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." The disclosure also 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," despite being issued by a Citigroup subsidiary.

This credit exposure means that investors bear both market risk (via exposure to index performance) and counterparty risk (via exposure to Citigroup's ability to honor its payment obligations). During periods of financial stress or if Citigroup's credit rating deteriorates, the secondary market value of these securities could decline sharply independent of underlying index performance. The filing notes that investors must be willing to accept "an investment that may have limited or no liquidity," compounding the challenge of exiting positions if credit concerns emerge.

Market Listing and Trading Considerations

The filing discloses that the securities will not be listed on any securities exchange, meaning investors will be entirely dependent on over-the-counter trading and the willingness of market makers, primarily Citigroup affiliates, to facilitate secondary market transactions. The lack of exchange listing substantially reduces liquidity and price transparency compared to exchange-traded securities. Investors seeking to sell before maturity may face wide bid-ask spreads, limited availability of buyers, or an unwillingness of market makers to quote prices at all during periods of market stress.

Citigroup Global Markets Inc., acting as principal underwriter, is the sole distribution entity for the offering. This concentration of distribution authority in the underwriter creates an information asymmetry where pricing and valuations are largely controlled by the issuer's affiliate. The filing's disclosure that estimated value ($962.10) is substantially below the issue price ($1,000) signals that the securities are immediately worth less than the purchase price, a reality that may not be transparent to all investors and highlights the profit extraction inherent in the issuance.

Registration and Regulatory Filing Information

The pricing supplement was filed pursuant to Rule 424(b)(2) under the Securities Act of 1933 and references Registration Statement Numbers 333-293732 and 333-293732-02, which were previously filed with the SEC. The offering is governed by the accompanying product supplement, underlying supplement, prospectus supplement, and prospectus, all dated February 25, 2026. Product Supplement No. EA-02-12 and Underlying Supplement No. 13 provide additional terms and specifications that investors must review to fully understand the offering mechanics. The SEC has neither approved nor disapproved these securities, and the filing includes standard disclaimers that any representation to the contrary would constitute a criminal offense.

The disclosure framework requires investors to integrate information across multiple documents—the pricing supplement, product supplement, underlying supplement, prospectus supplement, and prospectus—to obtain a complete picture of the offering's terms. This layered documentation approach, while comprehensive from a regulatory standpoint, places significant responsibility on investors to conduct thorough due diligence. The filing dates and document versions underscore that some foundational prospectus materials predate the pricing decision by nearly five months, potentially creating a gap between when foundational terms were disclosed and when current market conditions are reflected in the pricing supplement.

Comparison to Conventional Debt Securities

The filing emphasizes that these securities differ fundamentally from conventional debt offerings. Unlike traditional corporate bonds or notes that pay periodic coupon interest and guarantee return of principal at maturity, these autocallable securities provide no interest payments and no principal guarantee unless index performance criteria are met. The risk-return profile is inverted: investors forgo the safety of fixed-income investing in exchange for exposure to index-linked returns, but without the upside of owning equities directly since they receive no dividends or capital appreciation beyond the contractual premium schedule.

This hybrid structure creates an instrument that is neither traditional debt nor equities, but rather a leveraged bet on index performance with embedded optionality that favors the issuer. The "worst-of" linkage to two indices means investors are essentially short volatility and correlation risk—they benefit from stable or rising markets but face amplified losses during market dislocations. Compared to owning individual index funds or exchange-traded funds tracking either the EURO STOXX 50 or Russell 2000, these securities offer downside without upside, making the risk-return calculus fundamentally unfavorable for most long-term investors.