Citigroup Global Markets Holdings Inc. filed a 424B2 pricing supplement on August 4, 2026, detailing the terms of Callable 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 February 3, 2028.

Key Highlights

  • Total offering size: 3,457 securities at $1,000 per security, for a total issue price of $3,457,000.00, with proceeds to the issuer of $3,380,081.75.
  • Contingent coupon rate: 0.8417% per stated principal amount per period, equivalent to approximately 10.10% per annum, payable only if the worst-performing underlying closes at or above its coupon barrier value on the relevant valuation date.
  • Barrier level: Each underlying's coupon barrier value and final barrier value are set at 70.00% of its initial underlying value, as of the pricing date of July 31, 2026.
  • Estimated value at pricing: CGMI estimated the value of each security at $974.20, which is less than the $1,000 issue price, according to the filing.
  • Underwriting fee: Up to $22.25 per security paid to CGMI, an affiliate of the issuer acting as principal.
  • Call feature: The issuer may redeem the securities in whole, but not in part, on any of 15 specified potential redemption dates beginning with the payment date tied to the November 2, 2026 valuation date.
  • No exchange listing: The securities will not be listed on any securities exchange, according to the filing.

Structure, Payoff Terms, and Risks of the Linked Securities

According to the pricing supplement, Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. (NYSE: C), priced these notes as Medium-Term Senior Notes, Series N, under Pricing Supplement No. 2026-USNCH33301. The securities are issued with a pricing date of July 31, 2026, an issue date of August 5, 2026, and a stated maturity of February 3, 2028, unless called earlier. All payments are fully and unconditionally guaranteed by Citigroup Inc. and are subject to its credit risk. The CUSIP is 17334CAK0 and ISIN is US17334CAK09.

The filing specifies 18 valuation dates between August 31, 2026 and January 31, 2028. On each corresponding contingent coupon payment date, holders receive the 0.8417% coupon only if the closing value of the worst-performing underlying on that valuation date is greater than or equal to its coupon barrier value: 19,791.940 for the Nasdaq-100, 2,051.937 for the Russell 2000, and 5,242.804 for the S&P 500. If the worst-performing underlying closes below its barrier on a given valuation date, the filing states that no contingent coupon is paid for that period.

At maturity, if not previously redeemed, the filing states that holders receive $1,000 per security if the final underlying value of the worst-performing index is at or above its final barrier value. If the worst-performing underlying closes below its final barrier value, holders receive "$1,000 + ($1,000 x the underlying return of the worst performing underlying on the final valuation date)," which the filing notes could be "significantly less than the stated principal amount" and "possibly nothing." The filing also discloses that investors will not receive dividends from any underlying index and will not participate in any appreciation of any underlying.

What Was Disclosed

The filing disclosed the full pricing terms of $3,457,000 in callable equity-linked notes issued by Citigroup Global Markets Holdings Inc., including coupon conditions, barrier levels, redemption mechanics, an estimated per-security value of $974.20, and associated risk disclosures tied to the worst-performing of three major U.S. equity indexes.