Citigroup Issues $6 Million in Alphabet-Linked Structured Notes with Capped Returns and Downside Risk

Structured Note Terms Tied to Alphabet Class A Stock Performance

The disclosure states that Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued 6,031 securities with an aggregate stated principal amount of $6.031 million. Each security carries a stated principal amount of $1,000 and is fully guaranteed by Citigroup Inc. The underlying asset is Class A common stock of Alphabet Inc., with ticker symbol "GOOGL UW." The securities were priced on July 24, 2026, with an issue date of July 29, 2026, and are scheduled to mature on July 27, 2028, subject to postponement if the valuation date falls on a non-trading day or if market disruption events occur.

The initial share price was set at $319.74, representing the closing price of Alphabet shares on the pricing date. The valuation date is scheduled for July 24, 2028, approximately two years from issuance. The final payment at maturity depends entirely on the relationship between the final share price on the valuation date and both the initial share price and a predetermined trigger price of $255.792, which equals 80% of the initial price. This structure creates three distinct payout scenarios based on Alphabet's stock performance over the two-year holding period.

Payment Structure with Capped Upside and Conditional Downside Protection

The filing discloses that investors receive different payments depending on Alphabet's share price movement from the pricing date to the valuation date. If the final share price is greater than or equal to the initial share price of $319.74, each investor receives $1,000 plus a fixed return amount of $458, yielding a total payment of $1,458 per security regardless of how much the stock appreciates beyond the initial price. This represents a fixed return of 45.80% of the stated principal amount and caps investor participation in upside gains.

If Alphabet shares decline but remain above the trigger price of $255.792, investors receive exactly $1,000 per security with no gain and no loss. However, if final shares price falls below the trigger price—representing a decline of more than 20% from the initial price—investors face significant losses. In this scenario, the payment equals $1,000 plus a share return calculated as (final share price minus initial share price) divided by the initial share price, multiplied by $1,000. The filing explicitly warns that "if the final share price is less than the trigger price, your payment at maturity will be less, and possibly significantly less, than $800.00 per security." There is no minimum payment at maturity, meaning investors could lose nearly their entire investment if Alphabet shares collapse.

Principal-at-Risk Securities Requiring Acceptance of Credit and Liquidity Risk

The document emphasizes that these securities differ fundamentally from conventional debt instruments. Unlike traditional bonds, the securities do not pay periodic interest and do not guarantee repayment of a fixed principal amount at maturity. Instead, investors must accept modified equity exposure linked to Alphabet's stock performance, which creates principal-at-risk characteristics. All payments are subject to the full credit risk of both Citigroup Global Markets Holdings Inc. and its parent company, Citigroup Inc., meaning investors face the possibility of receiving no payment if either entity defaults on its obligations.

The filing states that investors must be willing to accept "an investment that may have limited or no liquidity" and explicitly notes that "the securities will not be listed on any securities exchange." This lack of listing creates significant constraints on investors' ability to sell these securities prior to maturity. Additionally, the document discloses that the estimated value of the securities is $973.60 per security on the pricing date, which is less than the $1,000 issue price. This valuation, based on Citigroup Global Markets Inc.'s "proprietary pricing models and internal funding rate," does not represent an indication of the price at which Citigroup or other parties would be willing to buy the securities after issuance.

Underwriting Fees and Distribution Channel Structure

Citigroup Global Markets Inc., acting as principal underwriter, received an underwriting fee of $25 per $1,000 security sold, generating total underwriting fees of approximately $150,775 across the offering. Selected dealers, including Morgan Stanley Wealth Management and their associated financial advisors, collectively received a fixed selling concession of $20 per $1,000 security sold. The filing also discloses that Citigroup Global Markets Inc. paid electronic platform providers $0.50 per security where selected dealers and custodians utilized such platforms for distribution.

The disclosure reveals a $5 per security structuring fee payable to Morgan Stanley Wealth Management by Citigroup Global Markets Inc., totaling approximately $30,155 across the entire offering. Net proceeds to the issuer after underwriting fees totaled $5.880225 million. The document notes that "CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines," indicating that the underwriter's financial interests may not align with investors' returns. This multi-layered fee structure creates multiple compensation streams for intermediaries independent of the securities' actual performance.

Dilution and Reorganization Adjustment Provisions

The filing indicates that the initial share price of $319.74 and the trigger price of $255.792 are each classified as "Relevant Values" under the accompanying product supplement. As such, both prices are subject to adjustment upon the occurrence of certain events affecting Alphabet Inc., including dilution and reorganization adjustments. These adjustments are detailed in the product supplement section titled "Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments," which is not fully reproduced in the pricing supplement itself.

The document emphasizes that investors must read the accompanying product supplement, prospectus supplement, and prospectus together with this pricing supplement to understand the full scope of potential adjustments and their consequences. Events such as stock splits, mergers, acquisitions, spin-offs, and other corporate actions affecting Alphabet could trigger recalculations of both the initial and trigger prices. Additionally, the filing notes that delisting of Alphabet shares could give Citigroup the right to call (redeem) the securities prior to maturity for an amount that may be less than the stated principal amount, representing another material risk to investors.

Market Disruption Events and Valuation Date Postponement

The disclosure states that the valuation date of July 24, 2028, is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. The document does not specify the exact definitions of "market disruption events" within the pricing supplement itself, instead referring investors to the accompanying product supplement for detailed descriptions. These events and their specific consequences for payment calculations are described in the product supplement section "Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date."

This postponement mechanism creates uncertainty about the final settlement date and final share price determination. If the valuation date is postponed, the effective maturity date could extend beyond July 27, 2028, which could affect investors' investment planning and liquidity needs. The filing does not disclose the maximum potential postponement period or the procedures Citigroup would follow to notify investors of any such postponements. Investors relying on specific cash flow timing should be aware that the actual payment date may differ from the stated maturity date depending on market conditions and trading calendar circumstances.

Dividend Forfeiture and Participation Limitations

The filing explicitly states that in exchange for the modified exposure to Alphabet shares that the securities provide, "investors in the securities must be willing to forgo participation in any appreciation of the underlying shares in excess of the fixed return and any dividends that may be paid on the underlying shares." This means that if Alphabet declares and pays dividends during the two-year holding period, security holders receive none of those distributions. The structure caps appreciation participation at the 45.80% fixed return, preventing investors from benefiting from any gains beyond that threshold regardless of how significantly Alphabet's stock price rises.

This forfeiture of dividend income represents a material consideration for investors who might otherwise hold Alphabet common stock directly for both capital appreciation and dividend distributions. Over a two-year investment period, depending on Alphabet's dividend policy, this could represent a meaningful opportunity cost. Investors comparing these securities to direct ownership of Alphabet shares should factor in the lost dividend income, which is not recovered through any enhanced return or other compensation mechanism in the pricing structure disclosed in the filing.

Comparison to Conventional Debt Securities and Investment Suitability

The document emphasizes that "investing in the securities involves risks not associated with an investment in conventional debt securities." Unlike traditional corporate bonds issued by Citigroup, these securities offer no fixed coupon payments, no guaranteed principal repayment, and exposure to equity price volatility tied to Alphabet's stock performance. Additionally, 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," despite the fact that they are issued by a subsidiary of a major bank and guaranteed by the parent company.

The filing includes explicit language stating, "You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion and up to all of your investment." This warning underscores that the downside risk is unlimited below the trigger price threshold. The document notes that the securities can be used "as an alternative to direct exposure to the underlying shares that provides a fixed return" but does not recommend this as a suitable investment vehicle for any specific investor category. Potential investors should carefully evaluate whether the capped upside, conditional downside protection, liquidity constraints, and credit risk exposure align with their investment objectives and risk tolerance.

Registration and SEC Compliance Framework

The pricing supplement was filed pursuant to Rule 424(b)(2) under the Securities Act of 1933, referencing Registration Statement Numbers 333-293732 and 333-293732-02. The document includes a standard SEC disclaimer stating that "neither the Securities and Exchange Commission (the 'SEC') nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense." This language emphasizes that regulatory filing does not constitute an endorsement or approval of the investment quality or suitability of the securities.

Investors are directed to read the pricing supplement together with the accompanying Product Supplement No. EA-02-12 dated February 25, 2026, and Prospectus Supplement and Prospectus each dated February 25, 2026. These companion documents contain additional disclosures regarding market disruption events, delisting procedures, dilution and reorganization adjustments, and other material terms not fully detailed in the pricing supplement itself. The document's repeated emphasis on the importance of reviewing accompanying materials suggests that the pricing supplement alone does not provide complete information necessary for investment decisions.