Citigroup Global Markets Holdings Issues Auto-Callable Market Linked Securities Tied to Amazon, Microsoft, Alphabet and Meta

Structure and Terms of the Citigroup Market Linked Securities Offering

The securities are structured as Medium-Term Senior Notes, Series N, issued under Pricing Supplement No. 2026-USNCH32946, which supplements Product Supplement No. EA-08-03 dated February 25, 2026, as well as the Prospectus Supplement and Prospectus each dated February 25, 2026. The pricing supplement was filed pursuant to Rule 424(b)(8) under Registration Statement Nos. 333-293732 and 333-293732-02, and is dated July 9, 2026.

Unlike conventional debt instruments, these securities do not provide fixed interest payments and do not guarantee return of principal at maturity. Instead, all economic outcomes — whether the investor receives contingent coupons, whether the securities are automatically redeemed early, and whether principal is returned — depend entirely on the closing value of the lowest performing underlying stock on each relevant calculation day throughout the term of the notes.

How the Contingent Coupon and Memory Feature Work

The securities will pay a contingent coupon at a rate of 12.00% per annum on a monthly basis, but only if the closing value of the lowest performing underlying on the relevant calculation day is greater than or equal to its coupon threshold value. The coupon threshold value for each of the four underlying stocks is set at 50% of its starting value, meaning a significant decline in any one of the four stocks could suspend coupon payments entirely.

A notable feature of these securities is the memory mechanism. If a contingent coupon is missed because the lowest performing underlying falls below its threshold, and that underlying subsequently recovers to or above the threshold on a later calculation day, the investor will receive the current coupon payment plus all previously unpaid contingent coupon payments — though without interest on the amounts previously unpaid. However, the filing explicitly discloses that if the lowest performing underlying remains below its coupon threshold value on every calculation day through and including the final calculation day, investors will receive no contingent coupon payments at all during the entire term of the securities.

Automatic Redemption Trigger and Call Threshold Mechanics

The securities include an auto-callable feature that may result in early redemption beginning as soon as October 2026. Specifically, if the closing value of the lowest performing underlying on any potential autocall date from October 2026 through June 2029, inclusive, is greater than or equal to its call threshold value, the issuer will automatically redeem the securities. Upon such a redemption, investors receive the stated principal amount of $1,000.00 per security plus the applicable contingent coupon and any previously unpaid contingent coupon payments.

The call threshold value for each underlying stock is set at 95% of its respective starting value. This means the auto-call feature is triggered only if the worst-performing of the four stocks remains at or above 95% of its starting value on a given autocall observation date. Given that the securities are linked to the lowest performer among four large-cap technology companies, investors are exposed to the risk that even a modest decline in any single name could prevent early redemption and extend the holding period.

Principal-at-Risk Provisions at Maturity on July 12, 2029

If the securities are not automatically redeemed prior to their maturity date of July 12, 2029, the return of principal depends on the closing value of the lowest performing underlying on the final calculation day. Should that closing value be greater than or equal to the downside threshold value — set at 50% of the starting value — investors will receive the full stated principal amount of $1,000.00 per security.

However, the filing states clearly that if the closing value of the lowest performing underlying on the final calculation day is less than its downside threshold value of 50% of starting value, investors will lose a significant portion, and possibly all, of their stated principal. Furthermore, the disclosure notes that if the securities are not automatically redeemed prior to maturity, investors bear full downside exposure to the lowest performing underlying from its starting value, with no participation in any appreciation of any of the four underlying stocks and no entitlement to any dividends paid on those stocks.

Underlying Technology Stocks and Worst-of Basket Risk

The four underlying securities in this offering are Amazon.com, Inc., Microsoft Corporation, Alphabet Inc., and Meta Platforms, Inc. — all large-cap technology and communications companies traded on major U.S. exchanges. The economic outcome of the structured notes depends entirely on the worst-performing of these four names at each relevant calculation date, not on an average or basket performance.

This worst-of structure is a critical risk factor highlighted throughout the filing. As the disclosure states, investors will not benefit in any way from the performance of any better-performing underlying. If any one of the four companies underperforms materially — even if the other three perform well — that single underperformer determines whether coupons are paid, whether the securities are called, and whether principal is returned. This construction concentrates risk on the weakest link in the group at any given measurement date.

Public Offering Price, Estimated Value, and Underwriting Fees

The securities were offered to the public at $1,000.00 per security, generating a total public offering price of $1,934,000.00. However, the pricing supplement discloses that the estimated value of the securities on the date of pricing is $947.70 per security — materially below the public offering price of $1,000.00. The filing notes that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and the firm's internal funding rate, and does not represent actual profit to CGMI or its affiliates, nor does it indicate the price at which any secondary market buyer may be willing to purchase the securities.

The underwriting discount and commission is $23.25 per security, or 2.325%, bringing total underwriting fees to $44,965.50. Net proceeds to Citigroup Global Markets Holdings Inc. after underwriting fees are $976.75 per security, or $1,889,034.50 in total. Wells Fargo Securities, LLC acts as agent and may pay selected dealers a fixed selling commission of 1.75% ($17.50) per security, along with a distribution expense fee of $0.75 per security to Wells Fargo Advisors where applicable. Additionally, CGMI will pay electronic platform providers a fee of $0.60 per security sold where relevant dealers or custodians utilize such platforms, and may pay up to $3.00 per security to selected securities dealers for marketing and distribution services.

Credit Risk, Guarantee Structure, and FDIC Non-Coverage

All payments on the securities — including contingent coupons and principal repayment — are subject to the credit risk of both Citigroup Global Markets Holdings Inc. as issuer and Citigroup Inc. as guarantor. The filing states that if Citigroup Global Markets Holdings Inc. defaults on its obligations under the securities and Citigroup Inc. defaults on its guarantee, investors could lose some or all of their investment regardless of the performance of the underlying stocks.

The disclosure further clarifies that the securities are unsecured debt obligations of the issuer and are not bank deposits. They are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, and they are not obligations of, or guaranteed by, a bank. The filing also notes that Wells Fargo Securities, LLC and its affiliates will have no liability to purchasers in the event of a default by the issuer or guarantor. Investors should therefore evaluate issuer credit risk as a distinct and material factor separate from the performance risk of the underlying equities.

Liquidity Limitations and Holding Period Considerations

The securities will not be listed on any securities exchange, and the filing expressly states that they may have limited or no liquidity in the secondary market. As a result, the pricing supplement advises that investors should not purchase the securities unless they are willing and able to hold them to their maturity date of July 12, 2029.

This lack of exchange listing distinguishes these notes from publicly traded equity or standard fixed-income instruments and creates meaningful constraints on an investor's ability to exit the position at a favorable price — or at any price — before maturity. The combination of illiquidity, principal-at-risk features, contingent income, and credit risk exposure makes these securities suitable only for investors who fully understand and can tolerate these compounded risk factors throughout the approximately three-year holding period.

Role of CGMI as Lead Agent and Hedging Obligations

Citigroup Global Markets Inc. serves as the lead agent for the offering and has agreed to sell the securities to Wells Fargo Securities, LLC as agent for further distribution. The filing references the use of hedging strategies by the issuer to manage its obligations under the securities, directing readers to the "Use of Proceeds and Hedging" section in the accompanying prospectus for further detail on those arrangements.

The disclosure notes that CGMI's proprietary pricing models and internal funding rate are used to determine the estimated value of the securities at issuance. Because the issuer's internal funding rate and proprietary model assumptions differ from those used in independent third-party pricing, the estimated value of $947.70 per security may differ from values derived by other market participants. Investors should take into account the difference between the public offering price and the estimated value when assessing the total cost of entering into this structured product.

Investor Risk Profile and Suitability Considerations

The pricing supplement states that the securities have complex features and that investing in them involves risks not associated with an investment in conventional debt securities. The filing directs investors to the Summary Risk Factors and Risk Factors sections in the accompanying product supplement and prospectus supplement for a comprehensive description of the material risks involved.

Key risks identified in the filing include: the possibility of receiving no contingent coupon payments if the lowest performing underlying remains below 50% of its starting value throughout the term; full downside exposure to any single stock that declines beyond the 50% threshold at maturity; issuer and guarantor credit risk; and the illiquidity of the securities given their unlisted status. The filing also emphasizes that investor returns are determined solely by the worst-performing underlying, meaning diversification across four technology stocks does not provide the protective benefit that a standard basket structure might imply.