Citigroup Issues $13.2 Million in Contingent Income Callable Securities Tied to Three Major Stock Indices

Structure of the Contingent Income Securities Offering

The securities represent an unsecured debt obligation issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. The aggregate stated principal amount is $13,162,000, with individual securities carrying a stated principal amount of $1,000 each. The issue was priced on July 24, 2026, with an issue date of July 29, 2026, and a maturity date of July 27, 2028, unless the issuer exercises its right to redeem the securities earlier through mandatory redemption on any potential redemption date.

The securities will not be listed on any securities exchange, meaning investors must be willing to accept limited or no liquidity in the secondary market. The offering is underwritten by Citigroup Global Markets Inc., acting as principal. The issue price was $1,000 per security, with a total underwriting fee of $263,240 paid to the underwriter and selected dealers, resulting in proceeds to the issuer of $12,898,760. The filing discloses that the estimated value of the securities on the pricing date was $967.00 per security based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rate, representing a discount to the issue price.

Quarterly Contingent Coupon Mechanics and Barrier Events

The securities pay quarterly contingent coupons equal to 2.975 percent of the stated principal amount per quarter, which annualizes to 11.90 percent, payable on each quarterly contingent coupon payment date unless previously redeemed. However, the critical condition for receiving these coupon payments is that a coupon barrier event must not occur during the related observation period. A coupon barrier event is triggered if the closing level of any of the three underlying indices falls below its coupon barrier level on any trading day during an observation period.

The coupon barrier levels are set at 70 percent of the initial index levels as follows: Nasdaq-100 Index at 19,689.838, Russell 2000 Index at 2,050.999, and S&P 500 Index at 5,188.386. The initial index levels on the pricing date were 28,128.34 for the Nasdaq-100, 2,929.999 for the Russell 2000, and 7,411.98 for the S&P 500. Observation periods begin on the pricing date and continue quarterly, with observation period end-dates occurring on October 26, 2026, January 25, 2027, April 26, 2027, July 26, 2027, October 25, 2027, January 24, 2028, and April 24, 2028, leading to contingent coupon payment dates following each observation period end-date. If any underlying index closes below its coupon barrier level on any single trading day during an observation period, investors will receive no contingent coupon payment for that quarter, regardless of the index's performance on other days.

Principal Repayment and Downside Risk Features

At maturity on July 27, 2028, unless the securities are redeemed early, the principal repayment structure is based on the final index level of the worst-performing underlying index relative to its downside threshold level. The downside threshold levels are identical to the coupon barrier levels, at 70 percent of each index's initial level. If the final index level of the worst-performing underlying index is greater than or equal to its downside threshold level, investors will receive the full stated principal amount of $1,000 per security.

However, if the final index level of the worst-performing underlying index falls below its downside threshold level, investors will receive $1,000 plus the index return of the worst-performing underlying index multiplied by $1,000. This structure means that if any of the three underlying indices declines significantly, the principal repayment could be substantially less than the stated amount and potentially substantially less than 70 percent of the stated principal. The filing notes that investors could receive significantly less than 70 percent of the stated principal amount at maturity, and in severe downside scenarios, potentially receive minimal or zero principal repayment. The final valuation date for determining the final index levels is July 24, 2028, subject to postponement if that date is not a scheduled trading day for any underlying index or if market disruption events occur.

Multi-Index Exposure and Asymmetric Risk Profile

The securities create an investment that exposes investors to the performance of three major market indices simultaneously, with downside risk determined by the worst-performing index. The Nasdaq-100 Index represents large-cap technology and growth-oriented stocks, the Russell 2000 Index represents small-cap stocks, and the S&P 500 Index represents large-cap stocks across the broader market. By linking coupon payments and principal repayment to the worst-performing index, the structure creates asymmetric risk where negative movement in even one index can eliminate coupon payments or reduce principal repayment, regardless of how the other indices perform.

The filing explicitly states that investors will be subject to risks associated with each underlying index and will be negatively affected by adverse movements in any one of the underlying indices regardless of the performance of the others. Importantly, investors will not participate in any appreciation of any underlying index and will not receive any dividends paid on stocks included in the underlying indices. This means that if all three indices appreciate significantly, investors will receive only their contingent coupons (if coupon barrier events do not occur) and their principal repayment; they will not benefit from the upside appreciation of the indices. The investment offers higher potential yield than conventional debt securities of the same maturity in exchange for accepting principal-at-risk and the possibility of reduced or eliminated coupon payments.

Redemption Rights and Early Repayment Scenarios

Citigroup Global Markets Holdings Inc. retains the right to call the securities for mandatory redemption on any potential redemption date prior to the maturity date. Potential redemption dates occur quarterly and align with the contingent coupon payment dates: October 29, 2026, January 28, 2027, April 29, 2027, July 29, 2027, October 28, 2027, January 27, 2028, April 27, 2028, and July 27, 2028 (the maturity date). This redemption feature means that if the issuer chooses to exercise its call option, investors may have their securities redeemed at the stated principal amount before maturity, potentially curtailing their exposure to beneficial market movements or preventing losses from unfavorable index performance.

The filing does not disclose specific conditions or triggers under which the issuer intends to exercise its redemption rights. The existence of the redemption right favors the issuer in rising market scenarios and creates additional uncertainty for investors regarding the duration and ultimate payoff of their investment. Investors should note that the issuer's ability to redeem the securities could limit upside participation if the underlying indices perform well and reduce the expected duration of the investment.

Underwriting Compensation and Pricing Considerations

Citigroup Global Markets Inc., acting as underwriter and principal, received an underwriting fee of $20.00 per security, totaling $263,240 across the entire offering of 13,162 securities. Selected dealers, including Morgan Stanley Wealth Management, and their financial advisors received a fixed selling concession of $15.00 per security for each security they sold. Additionally, Morgan Stanley Wealth Management received a structuring fee of $5.00 per security. Electronic platform providers utilized by selected dealers and custodians received a fee of $0.50 per security sold through those platforms.

The filing discloses that Citigroup Global Markets Inc.'s estimated value of the securities based on its proprietary pricing models and internal funding rate was $967.00 per security on the pricing date, substantially below the $1,000.00 issue price. The document explicitly states that this estimated value is not an indication of actual profit to the underwriter or other affiliates, nor is it an indication of the price at which the underwriter or any other person may be willing to buy the securities in the secondary market after issuance. The filing further notes that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to the offering even if the value of the securities declines after issuance.

Credit Risk and Guarantee Structure

All payments on the securities, including contingent coupon payments and principal repayment at maturity, are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the direct issuer, and Citigroup Inc., the guarantor. While Citigroup Inc. provides a full and unconditional guarantee of all payments due on the securities, investors are ultimately exposed to the credit risk of both the issuer and guarantor. If either entity defaults on its obligations, investors may not receive coupon payments or principal repayment as expected, even if the underlying indices perform favorably.

The filing emphasizes 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. This distinction is important for investors to understand, as it means that the protections typically afforded to bank deposits do not apply to these securities. The unsecured nature of the debt and reliance on Citigroup's creditworthiness represent material risks that investors must evaluate independently.

Regulatory Status and Required Disclosures

The pricing supplement was filed pursuant to Securities and Exchange Commission Rule 424(b)(2), with registration statement numbers 333-293732 and 333-293732-02. The filing is part of a registration statement that includes multiple supporting documents: 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. The regulatory filing explicitly states that neither the SEC nor any state securities commission has approved or disapproved of the securities or determined that the pricing supplement and accompanying documents are truthful or complete, with any contrary representation constituting a criminal offense.

The filing discloses that the document contains summary risk factors beginning on page PS-8 of the pricing supplement, indicating that the offering involves risks not associated with investment in conventional debt securities. Investors are urged to read the pricing supplement together with all accompanying product supplements, underlying supplements, prospectus supplements, and prospectuses to fully understand the terms, risks, and conditions of the investment.

Key Index Initial Levels and Downside Thresholds

The three underlying indices have been assigned specific initial index levels, downside threshold levels, and coupon barrier levels, all measured as of the pricing date of July 24, 2026. For the Nasdaq-100 Index (ticker: NDX), the initial level was 28,128.34, with both the downside threshold level and coupon barrier level set at 19,689.838, representing exactly 70 percent of the initial level. For the Russell 2000 Index (ticker: RTY), the initial level was 2,929.999, with both threshold levels set at 2,050.999, also representing 70 percent of the initial level. For the S&P 500 Index (ticker: SPX), the initial level was 7,411.98, with both threshold levels set at 5,188.386, maintaining the 70 percent ratio.

The uniformity of the downside threshold and coupon barrier levels at exactly 70 percent of initial levels means that any index would need to decline by more than 30 percent from its pricing-date level to trigger a coupon barrier event or create principal-at-risk conditions at maturity. The filing presents these levels as objective benchmarks against which index performance will be measured on specific observation period dates and the final valuation date. Investors should note that these thresholds were established as of July 24, 2026, and will remain fixed throughout the life of the securities.

Investment Suitability Considerations and Liquidity Constraints

The pricing supplement emphasizes that investors in the securities must be willing to accept an investment that may have limited or no liquidity, as the securities will not be listed on any securities exchange. This lack of exchange listing significantly constrains the ability to sell the securities in a secondary market and may result in difficulties exiting the investment before maturity or redemption. Investors seeking to sell their securities prior to maturity or redemption may face difficulty finding buyers and may be forced to accept substantial discounts to fair value if market conditions are unfavorable or if the estimated value of the securities has declined from the purchase price.

The securities are designed for investors who can commit capital for the full term to maturity (or until redemption) and who fully understand and accept the principal-at-risk nature of the investment. The offering documentation makes clear that the securities are not suitable for investors requiring liquidity, predictable income, or protection of principal. Investors should carefully evaluate their risk tolerance, investment time horizon, and financial circumstances before purchasing these securities, as the combination of illiquidity, principal-at-risk features, contingent coupon payments, and multi-index exposure creates a complex investment with significant downside potential.