Citigroup Global Markets Holdings Inc. filed a 424B2 pricing supplement on July 31, 2026, covering the terms of Autocallable Contingent Coupon Equity Linked Securities linked to the worst performing of the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index, with a maturity date of August 5, 2031.

Key Highlights

  • Total offering size: $1,920,000.00, priced at $1,000.00 per security, with proceeds to the issuer of $963.50 per security after an underwriting fee of $36.50.
  • Contingent coupon rate: 0.6667% per valuation period (approximately 8.00% per annum), paid only if the worst performing underlying closes at or above its coupon barrier value on the relevant valuation date.
  • Barrier level: Both the coupon barrier value and the final barrier value are set at 70.00% of each underlying's initial value on the pricing date.
  • Estimated value at pricing: $954.40 per security, which is less than the $1,000.00 issue price, based on CGMI's proprietary pricing models and internal funding rate.
  • Automatic call feature: Securities may be automatically redeemed early if the worst performing underlying closes at or above its initial underlying value on any potential autocall date.
  • Principal at risk: If not autocalled and the worst performing underlying's final value is below its final barrier value, investors receive $1,000 plus $1,000 multiplied by the underlying return, which could be zero.
  • Guarantee: All payments are fully and unconditionally guaranteed by Citigroup Inc. (NYSE: C), and all payments are subject to the credit risk of both the issuer and the guarantor.

Terms and Risk Structure of the Citigroup 2031 Equity-Linked Securities

According to the filing, the securities are unsecured Medium-Term Senior Notes, Series N, issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., and underwritten by Citigroup Global Markets Inc. (CGMI) acting as principal. The pricing date was July 31, 2026, and the issue date is August 5, 2026. The securities are not listed on any securities exchange, and the filing notes that investors "must be willing to accept an investment that may have limited or no liquidity."

The filing specifies initial underlying values on the pricing date as: Nasdaq-100 Index at 28,274.20, Russell 2000 Index at 2,931.339, and S&P 500 Index at 7,489.72. Each underlying's coupon barrier value and final barrier value equal 70.00% of its respective initial value, translating to 19,791.940, 2,051.937, and 5,242.804, respectively. Contingent coupon payments of 0.6667% per period are made only if the closing value of the worst performing underlying meets or exceeds its coupon barrier on each valuation date. The filing discloses 60 scheduled valuation dates running from August 31, 2026 through July 31, 2031.

The filing states that CGMI will receive an underwriting fee of up to $36.50 per security and may also pay electronic platform providers up to $1.00 per security. The filing adds that "CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines." The estimated value of $954.40 per security, the filing notes, "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."

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed the full pricing terms of a $1,920,000.00 offering of autocallable, equity-linked notes due August 5, 2031, linked to the worst performing of three major U.S. equity indexes, with an approximately 8.00% per annum contingent coupon and a 70.00% barrier level.