Citigroup Issues $12 Million in Autocallable Structured Notes Linked to Invesco QQQ Trust

Structure and Terms of the Autocallable Securities Offering

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued $12 million in aggregate stated principal amount of unsecured senior debt securities in this offering. Each security carries a stated principal amount of $1,000 and is fully guaranteed by Citigroup Inc. The pricing date was July 21, 2026, and the official issue date was July 24, 2026. The securities mature on July 26, 2027, unless automatically redeemed earlier based on performance triggers tied to the Invesco QQQ Trust, which trades under ticker symbol QQQ. All payments on these securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and its parent company Citigroup Inc.

The securities are structured as "autocallable" instruments, meaning they can be automatically redeemed prior to their stated maturity date under specific market conditions. The initial share price for valuation purposes was set at $696.06, representing the closing price of QQQ shares on the strike date of July 20, 2026. The offering was underwritten by Citigroup Global Markets Inc. (CGMI) at a fee of $1.00 per security, with J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. serving as placement agents. The securities were not listed on any securities exchange and will have limited liquidity.

Contingent Coupon Payment Mechanics and Valuation Dates

The securities feature contingent coupon payments rather than fixed interest payments, providing potential yield enhancement over conventional debt securities of comparable maturity. The contingent coupon equals 1.50% of the stated principal amount per security, payable only if the relevant share price for any given valuation date meets or exceeds the coupon barrier price of $626.454, which represents 90.00% of the initial share price. The company established 11 interim valuation dates beginning August 21, 2026, and continuing monthly through June 21, 2027, with a final valuation date of July 21, 2027. Contingent coupon payments are scheduled for the third business day following each interim valuation date, with the final coupon payment due at maturity.

A distinctive feature of this structure is the make-whole provision for unpaid coupon amounts. If the share price falls below the coupon barrier on one or more interim valuation dates but subsequently recovers above the barrier on a later interim valuation date or at the final valuation date, investors receive accumulated previously unpaid coupon payments along with the current coupon payment at no interest. However, if share prices remain below the coupon barrier through all remaining valuation dates, investors forfeit those missed coupon payments permanently. This design creates a scenario where investors recover missed payments only if the underlying QQQ shares rally sufficiently within the remaining measurement period.

Automatic Early Redemption Trigger and Pricing Implications

The securities incorporate an automatic early redemption feature that activates if QQQ closing prices equal or exceed the initial share price of $696.06 on any interim valuation date. When this trigger occurs, each security held by investors is automatically redeemed on the related contingent coupon payment date for $1,000 in principal plus the applicable contingent coupon payment, including any previously unpaid coupon amounts. This feature effectively caps the maximum return investors can achieve on these securities, as they receive no participation in any QQQ share price appreciation beyond the initial price level. The pricing supplement indicates that on the pricing date, the estimated value of the securities was $996.80 per security, lower than the $1,000 issue price, reflecting the theoretical value based on Citigroup's proprietary pricing models and internal funding rates.

The underwriting fee structure reveals that CGMI received a $1.00 per security fee for securities sold to non-fiduciary accounts, with placement agents J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. receiving equal placement fees on their sales to non-fiduciary accounts. For fiduciary account purchases, both the underwriting and placement fees were forgone, resulting in a lower issue price of $999.00 per security for those accounts. The pricing supplement explicitly notes that the estimated value of $996.80 is not an indication of actual profit to CGMI or other affiliates, nor is it a price at which CGMI or any other party would necessarily be willing to purchase the securities from investors after issuance.

Downside Risk and Principal Repayment at Maturity

If the securities are not automatically redeemed prior to maturity, repayment at maturity depends critically on the final share price of QQQ measured on July 21, 2027. If the final share price equals or exceeds the final barrier price of $626.454 (identical to the coupon barrier at 90% of the initial price), investors receive their full $1,000 stated principal amount plus any contingent coupon payment due at maturity. However, if the final share price falls below the final barrier price, investors receive less than the stated principal amount according to a formula that incorporates a buffer rate and the extent of share price decline. The buffer rate is calculated as the initial share price divided by the final barrier price, which equals approximately 111.111%.

The payment formula for below-barrier scenarios is structured as: $1,000 plus [$1,000 multiplied by the buffer rate multiplied by (the share return plus the buffer amount)]. In practical terms, this means investors lose more than 1% of their stated principal amount for every 1% by which the final share price declines beyond the buffer amount. The pricing supplement explicitly warns that there is no minimum payment at maturity, meaning investors could potentially receive significantly less than their initial investment or even nothing if QQQ shares experience a sufficiently severe price decline. Additionally, if the final share price is below the final barrier price, investors receive no contingent coupon payment at maturity, including any previously unpaid contingent coupon amounts that accumulated during the life of the securities.

Limitations on Underlying Share Participation and Dividend Treatment

A critical characteristic of these autocallable securities is that investors have no direct participation in any appreciation of QQQ shares and receive no dividends paid on the underlying shares. While investors bear full downside risk exposure to QQQ share price movements, the structure explicitly prevents them from benefiting from any upside appreciation beyond the initial share price level at which automatic early redemption occurs. This asymmetric risk-reward profile is a defining feature of autocallable structures and represents a significant consideration for potential investors evaluating the attractiveness of these securities relative to conventional fixed-income alternatives or direct QQQ ETF ownership.

The underlying shares are issued by Invesco QQQ Trust, Series 1, which is an exchange-traded fund that provides exposure to technology, consumer discretionary, and growth-oriented equity markets through its tracking methodology. By structuring these notes to reference QQQ rather than individual stocks or a broader market index, Citigroup created instruments that track the concentrated performance of higher-growth equity sectors. The inability of note investors to capture dividends distributed by the underlying ETF means that the contingent coupon payments are the only cash returns available to security holders, making the reliability of those coupon payments particularly significant to overall expected returns.

Credit Risk and Investor Protections Considerations

All payments on these securities are fully dependent on the creditworthiness of both Citigroup Global Markets Holdings Inc. and its parent guarantee from Citigroup Inc. The pricing supplement emphasizes that investors must accept the risk of not receiving any payments if either entity defaults on its obligations, making these instruments unsecured senior debt securities rather than bank deposits. The securities 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, any bank. This represents a material credit risk consideration that distinguishes these structured notes from traditional bank deposits or fully secured instruments.

The securities are not listed on any securities exchange, which means investors have limited liquidity options if they wish to exit their positions prior to maturity or early redemption. The pricing supplement explicitly states that investors must be willing to accept an investment that may have limited or no liquidity, making these instruments potentially difficult to sell on the secondary market at any price, let alone at a price close to fair value. The combination of embedded credit risk, lack of market liquidity, and complex valuation mechanics creates a risk profile significantly different from conventional fixed-income securities of similar maturity.

Valuation Methodology and Estimated Security Value

The pricing supplement discloses that the estimated value of the securities on the pricing date was $996.80 per security, calculated using Citigroup's proprietary pricing models and internal funding rates. This estimated value was below the $1,000 issue price, indicating that the theoretical fair value was lower than the price at which the securities were offered to investors. The pricing supplement includes an important disclaimer clarifying that this estimated value is not an indication of actual profit to Citigroup Global Markets Inc. or other Citigroup affiliates, nor is it indicative of any price at which the underwriter or other market participants would be willing to purchase the securities from investors in secondary market trading after issuance.

The gap between the $1,000 issue price and the $996.80 estimated value reflects the embedded costs and risks of the structured product, including hedging costs, credit risk, and embedded derivatives pricing. Investors should understand that this valuation differential means that the theoretical economic value of the securities at issuance was approximately $3.20 per security lower than the purchase price, a cost structure built into the structure of autocallable products. This valuation approach is distinct from conventional bond offerings, where pricing is typically more closely aligned with market-determined yield levels relative to credit risk.

Market Disruption Provisions and Administrative Features

The pricing supplement includes provisions allowing for postponement of valuation dates and the maturity date if such dates are not scheduled trading days or if certain market disruption events occur. This protective mechanism ensures that valuations can only be performed on dates when the underlying QQQ ETF is actively trading and pricing is reliable. The paying agent for these securities is Citibank, N.A., which will handle all payment processing and administrative functions related to coupon distributions and principal repayment. The CUSIP number for these securities is 17334C5T7, and the ISIN is US17334C5T78, enabling identification and tracking through standard financial market infrastructure systems.

Interim valuation dates scheduled throughout the life of the securities include August 21, 2026, September 21, 2026, October 21, 2026, November 23, 2026, December 21, 2026, January 21, 2027, February 22, 2027, March 22, 2027, April 21, 2027, May 21, 2027, and June 21, 2027, with each subject to postponement for scheduling conflicts or market disruptions. The final valuation date of July 21, 2027, is also subject to similar postponement provisions. This scheduling creates a measurement framework where investors' ultimate returns depend on 11 interim checkpoints plus a final assessment, with each checkpoint potentially triggering automatic redemption if QQQ prices recover to initial levels.

Regulatory Filing Status and Investor Information Resources

This pricing supplement was filed pursuant to Securities Exchange Commission Rule 424(b)(2) on July 23, 2026, and is supported by underlying registration statements numbered 333-293732 and 333-293732-02. The offering incorporates referenced materials including Product Supplement No. EA-04-12 dated February 25, 2026, Underlying Supplement No. 13 dated February 25, 2026, and a Prospectus Supplement and Prospectus each dated February 25, 2026. These supporting documents provide additional detail regarding the mechanics of these autocallable securities, the characteristics of the underlying Invesco QQQ Trust ETF, and the general risk factors applicable to structured debt products of this type.

The pricing supplement includes a statutory disclaimer noting that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined whether the documentation is truthful and complete. Investors considering these securities should review all available documentation, including the prospectus, prospectus supplement, product supplement, and underlying supplement, to fully understand the risks and mechanics before making investment decisions. The complexity of these autocallable structures, combined with their embedded derivatives features and contingent payment mechanisms, makes thorough document review and potentially professional financial advice advisable for retail and institutional investors alike.