Citigroup Issues Autocallable Notes Linked to Advanced Micro Devices With Contingent Coupon Structure

Structure and Issuance Details of the New Equity-Linked Securities

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued the autocallable contingent coupon equity-linked securities through a pricing supplement filed on July 15, 2026. The offering comprises securities with a stated principal amount of $1,000 per unit, with an aggregate principal of $110 million raised at the issue price. The securities are scheduled to be issued on July 17, 2026, and will mature on July 20, 2029, unless automatically redeemed earlier through the autocall mechanism embedded in the product structure.

All payments on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company, which enhances the credit backing of the offering. Citigroup Global Markets Inc., acting as the principal underwriter, received an underwriting fee of $40 per security, or $4.4 million in aggregate, with net proceeds to the issuer of $960 per security or $105.6 million total. The securities were not registered for listing on any securities exchange, indicating they are primarily marketed to institutional and qualified investors through distribution channels managed by Citigroup's affiliates.

Advanced Micro Devices as Underlying Reference Asset

The securities are linked to the common stock of Advanced Micro Devices Inc., with an initial underlying value established at $529.14, representing the closing price of AMD shares on the pricing date of July 15, 2026. This reference price serves as the baseline for calculating whether contingent coupon payments will be made and whether the securities will be subject to automatic redemption. The underlying return calculation at maturity depends directly on the performance of AMD shares, with the final valuation occurring on July 17, 2029, the final valuation date.

Investors purchase exposure to AMD's equity performance without receiving dividends paid on the underlying shares or participating in any appreciation of the stock beyond the defined payment structure. The closing value of AMD shares will be determined on thirteen scheduled valuation dates throughout the three-year life of the securities, with valuations occurring quarterly beginning October 19, 2026. Each valuation date is subject to postponement if it falls on a non-trading day or if certain market disruption events occur, as detailed in the accompanying product supplement.

Contingent Coupon Payment Terms and Barrier Mechanism

The securities offer contingent coupon payments equal to 5.375% of the stated principal amount on each of thirteen payment dates scheduled for the fifth business day after each quarterly valuation date. This payment structure yields an annualized contingent coupon rate of 21.50% if all payments are received, providing potential returns significantly higher than conventional debt securities of comparable maturity. However, the receipt of these coupon payments is entirely contingent on the performance of AMD shares relative to a predetermined coupon barrier value.

The coupon barrier has been set at $264.57, representing exactly 50% of the initial underlying value of $529.14. On each valuation date, if the closing price of AMD shares is greater than or equal to the coupon barrier value, investors will receive the full contingent coupon payment on the following payment date. Conversely, if the closing price falls below $264.57 on any valuation date, no contingent coupon payment will be made on the immediately following payment date. This binary payment structure means that the yield investors ultimately receive depends entirely on whether AMD maintains a price above the 50% barrier level throughout the security's life.

Automatic Early Redemption Provisions and Potential Upside Limitation

The securities incorporate an automatic early redemption feature that may significantly limit investors' potential returns despite favorable performance by AMD shares. If on any designated potential autocall date, the closing value of AMD shares is greater than or equal to the initial underlying value of $529.14, all securities will be automatically called for redemption on the immediately following contingent coupon payment date. The potential autocall dates occur on January 19, 2027, April 19, 2027, July 19, 2027, October 18, 2027, January 18, 2028, April 17, 2028, July 17, 2028, October 17, 2028, January 17, 2029, and April 17, 2029, providing ten potential early redemption opportunities.

Upon automatic redemption, investors receive $1,000 per security plus the related contingent coupon payment, which effectively locks in the principal amount and prevents participation in any further AMD appreciation. This mechanism means that if AMD shares recover to their initial pricing level or higher, investors will not benefit from sustained upside movement but will instead have their position terminated early. The automatic early redemption feature could activate as early as January 19, 2027, less than six months after the issue date, cutting short the opportunity to receive additional contingent coupon payments if AMD performs strongly in the early months following issuance.

Downside Risk and Payment Structure at Maturity

If the securities are not automatically redeemed prior to maturity and AMD's closing price on the final valuation date of July 17, 2029 is greater than or equal to the final barrier value of $264.57 (50% of initial value), investors will receive the full stated principal of $1,000 per security at maturity, along with any applicable final contingent coupon payment. However, if the final underlying value falls below $264.57, the payment at maturity is significantly reduced and directly dependent on AMD's overall performance from the pricing date through maturity.

In this downside scenario, investors receive $1,000 plus an amount equal to $1,000 multiplied by the underlying return, which is calculated as the difference between the final underlying value and the initial underlying value ($529.14), divided by the initial underlying value. For example, if AMD shares decline 50% from $529.14 to $264.57, the underlying return would be negative 50%, resulting in a payment of $500 per security at maturity instead of the full principal. If AMD shares fall further, potentially dropping 75% or more, investors could receive substantially less than principal or even nothing if the decline exceeds 100%, though the filing does not explicitly address this zero-return scenario. The filing states that investors "will not receive any contingent coupon payment at maturity" if the final underlying value is below the final barrier value.

Credit Risk and Investor Protections Limitations

All payments on the securities depend entirely on the creditworthiness of Citigroup Global Markets Holdings Inc. and its parent company Citigroup Inc., which provides the full and unconditional guarantee. While the guarantee provides an additional layer of credit support beyond the issuer entity itself, investors face direct exposure to any default or financial distress affecting either entity. The filing explicitly states that investors must accept the risk of not receiving payments if either Citigroup Global Markets Holdings Inc. or Citigroup Inc. defaults on their obligations, creating dual credit risk concentration in a single corporate group.

The securities are not bank deposits and are therefore not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Additionally, the filing notes that the securities are expected to have limited or no liquidity, as they will not be listed on any securities exchange. Investors seeking to exit their positions prior to maturity would need to find a buyer in the secondary market, but the absence of exchange listing suggests a potentially thin or nonexistent liquid market for these instruments. This liquidity constraint means investors should be prepared to hold the securities until maturity or an automatic redemption event.

Pricing, Valuation Estimates, and Cost Structure

The securities were priced at $1,000 per unit on July 15, 2026, with an underwriting fee of $40 per security paid to Citigroup Global Markets Inc. as principal underwriter. The net proceeds to the issuer were therefore $960 per security, representing a 4% reduction from the issue price. The pricing supplement discloses that on the pricing date, the estimated value of the securities as calculated by Citigroup Global Markets Inc. using proprietary pricing models was $925.70 per security, which is $74.30 below the $1,000 issue price.

Citigroup Global Markets Inc. stated that this estimated value is based on its internal funding rate and proprietary pricing models, but is not an indication of actual profit to Citigroup or its affiliates, nor is it an indication of any secondary market price at which the underwriter or other parties may be willing to purchase the securities from investors after issuance. In addition to the $40 underwriting fee, 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. Electronic platform providers will receive a fee of $1.50 per security sold through their platforms, further reducing the effective proceeds available to support the security's underlying economics.

Risk Factors and Investment Considerations for Prospective Investors

The pricing supplement identifies multiple risk factors specific to these structured securities that distinguish them from conventional debt investments. Investors must accept that their actual yield may be significantly lower than yields on comparable conventional debt securities of the same maturity because they may receive none, some, or all of the contingent coupon payments depending on AMD's stock price performance relative to the 50% coupon barrier. Even if coupon payments are received, the lack of upside participation means investors cannot benefit from AMD appreciation beyond the automatic redemption trigger level, creating an asymmetric return profile where downside risk is fully borne while upside gains are capped.

The filing emphasizes that the value received at maturity may be significantly less than the stated principal amount of $1,000 per security and may potentially be zero if AMD's share price declines substantially from the pricing level. Although investors receive downside exposure to AMD's equity performance, they gain no voting rights, dividend participation, or other benefits typically associated with share ownership. The combination of binary contingent coupons, downside participation, limited upside, and automatic redemption creates a complex risk-return profile that requires investors to make precise assessments of future AMD stock price movements while accepting credit risk on Citigroup entities and limited secondary market liquidity.

Distribution and Market Access Arrangements

The securities are being distributed by Citigroup Global Markets Inc. and its affiliates through various dealer and custodian channels, with specific compensation arrangements for electronic platform providers. The pricing supplement references a supplemental plan of distribution that outlines the specific distribution arrangements and dealer compensation, though the detailed distribution provisions are contained in separate accompanying documents not fully reproduced in this disclosure. The decision to offer these securities without exchange listing suggests distribution primarily through direct institutional channels and private placement networks rather than retail public markets.

The electronic platform arrangement, where platform providers receive $1.50 per security sold, indicates that at least a portion of the distribution may occur through digital trading platforms and custody systems used by institutional investors and qualified dealers. This distribution model allows Citigroup to reach a broad network of qualified institutional buyers while maintaining control over the offering through its affiliate underwriter. The specific terms of these distribution arrangements, including any selective distribution limitations or investor qualification requirements, are detailed in additional prospectus documents accompanying this pricing supplement.