Citigroup Issues Barrier Digital Securities Linked to NVIDIA With 24.85% Digital Return and August 2027 Maturity

Product Structure and Payment Mechanics

The securities issued by Citigroup Global Markets Holdings Inc. represent a structured debt instrument that does not function as a traditional bond. Unlike conventional fixed-income securities, these notes offer no coupon interest payments and no guaranteed return of principal. Instead, investors receive a payment at maturity determined entirely by the performance of NVIDIA Corporation shares from the pricing date through the valuation date. The stated principal amount is $1,000 per security, with the initial underlying value established at $202.81, the closing price of NVIDIA shares on the pricing date of July 17, 2026.

The payment structure incorporates three distinct scenarios based on NVIDIA's final closing value on August 17, 2027. If NVIDIA closes at or above the initial value of $202.81, investors receive the full stated principal of $1,000 plus the digital return amount of $248.50 per security, for a total of $1,248.50. If NVIDIA closes below the initial value but at or above the barrier level of $121.686 (representing 60% of the initial value), investors receive only the stated principal amount of $1,000. However, if NVIDIA closes below the barrier level, investors experience full downside exposure, receiving $1,000 plus a return percentage equal to NVIDIA's depreciation, which could result in a loss of the entire investment.

Barrier Protection Mechanism and Downside Risk

The securities incorporate a barrier protection feature designed to limit losses in moderate market declines but provide no protection against severe depreciation. The final barrier value is set at $121.686, representing 60% of the initial underlying value. This structure allows investors to receive full principal repayment if NVIDIA shares decline by up to 40% from the pricing level, provided the stock does not fall below the barrier threshold. The disclosure emphasizes that investors must accept full downside exposure to the depreciation of NVIDIA shares if the final underlying value falls below the barrier value.

The filing explicitly states that if the final underlying value is less than the final barrier value, investors will lose 1% of the stated principal amount for every 1% by which the final underlying value is less than the initial underlying value. This creates a linear loss structure below the barrier where investors could lose their entire investment if NVIDIA shares depreciate sufficiently. The disclosure material repeatedly highlights this risk, warning that investors may lose their complete capital commitment under adverse market scenarios. The company did not disclose any credit enhancement mechanism or hedge structure beyond the barrier provision itself.

Digital Return Cap and Forfeiture of Excess Gains

A defining characteristic of these securities is the digital return structure that caps investor participation in NVIDIA's appreciation. The digital return amount of $248.50 per security represents exactly 24.85% of the stated principal amount, regardless of how much NVIDIA shares appreciate beyond the initial value. An investor holding these securities during a period where NVIDIA stock doubles in value would receive the same payment as an investor who held the securities during a period where NVIDIA merely matched its initial value, so long as NVIDIA closed above the initial price on the valuation date.

In exchange for the capped upside potential, investors must forgo all dividends with respect to NVIDIA shares throughout the holding period. The disclosure notes that investors must be willing to accept this forfeiture of dividend income and any appreciation in excess of the 24.85% digital return. This structure effectively means investors are paying for downside protection and a moderate upside participation in exchange for giving up both the full upside potential of a NVIDIA equity investment and all dividend income. The pricing supplement does not separately quantify the dividend yield foregone or provide a calculation of the implicit cost of these structural features.

Issuance Terms and Underwriting Arrangement

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued the securities with a total face value offering of $886,000 across 886 securities. Each security carried an issue price of $1,000 and an underwriting fee of $6.50 per security, resulting in total underwriting fees of $5,759. The net proceeds to the issuer from the offering totaled $880,241, calculated as the total issue price less the total underwriting fees. Citigroup Global Markets Inc., an affiliate of the issuer, acted as the principal underwriter for the offering.

The offering was conducted under Rule 424(b)(2) pursuant to registration statements numbered 333-293732 and 333-293732-02. The securities received a CUSIP identifier of 17334BCW4 and an ISIN of US17334BCW46. The pricing date was July 17, 2026, with the issue date set for July 22, 2026. The securities will not be listed on any securities exchange, meaning there is no guaranteed secondary market for investors seeking to exit their positions prior to maturity. The filing notes that beyond the underwriting fee, Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to the offering regardless of whether the value of the securities declines.

Valuation and Estimated Value Considerations

The pricing supplement disclosed that on the date of issuance, the estimated value of the securities was $985.00 per security, which is notably less than the $1,000 issue price. This $15 per-security discount between issue price and estimated value represents a spread of approximately 1.5%. The disclosure specifies that this estimated value is based on Citigroup Global Markets Inc.'s proprietary pricing models and the firm's internal funding rate, and explicitly states that this valuation is not an indication of actual profit to Citigroup or its affiliates, nor is it an indication of the price at which Citigroup or any other person may be willing to purchase the securities from investors after issuance.

The disclosure material emphasizes the limited liquidity characteristics of these securities. Investors must be willing to accept an investment that may have limited or no liquidity in the secondary market. The disclosure does not provide any estimates of potential bid-ask spreads, secondary market volumes, or the likelihood of finding counterparties willing to purchase the securities before maturity. The valuation methodology and hedging costs embedded in the initial pricing remain proprietary to Citigroup, and investors receive no detailed breakdown of how the estimated value of $985 was derived from the structural features described in the prospectus.

Credit Risk and Guarantee Structure

All payments due on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the issuer, and Citigroup Inc., which provides a full and unconditional guarantee of all payment obligations. The guarantee structure means that if Citigroup Global Markets Holdings Inc. fails to meet its obligations at maturity, investors have recourse to Citigroup Inc. itself. However, the securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Investors assuming these securities are assuming direct counterparty credit risk with one of the largest globally systemically important financial institutions.

The filing does not provide separate quantifications of Citigroup's current credit spreads, default probability assessments, or how the credit risk of Citigroup has been priced into the $15-per-security discount between issue price and estimated value. The disclosure material does not compare Citigroup's credit risk to the underlying NVIDIA equity risk, nor does it provide guidance on which risk component dominates the securities' valuation. Investors must evaluate whether Citigroup's credit guarantee provides meaningful value given the firm's too-big-to-fail status and existing regulatory safeguards.

Market Disruption Events and Valuation Adjustments

The pricing supplement references that the accompanying product supplement contains important information about adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events with respect to NVIDIA. The valuation date is set for August 17, 2027, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur. The filing does not provide a detailed enumeration of what constitutes a market disruption event for purposes of NVIDIA trading or how such an event would trigger valuation adjustments.

The closing value of NVIDIA on any date is defined as the closing price of NVIDIA shares on such date as provided in the product supplement. The disclosure indicates that readers must consult the accompanying product supplement for more information on how closing values are determined and what types of corporate actions or market events might affect the determination of the final underlying value. The pricing supplement itself does not include this critical information, instead deferring investors to the separate product supplement document for these material terms.

Hypothetical Return Examples and Payout Diagram

The pricing supplement includes a payout diagram illustrating investor payments at maturity across a range of hypothetical NVIDIA returns. The diagram visually demonstrates the three-part payout structure: the digital return of $248.50 if NVIDIA appreciates, flat repayment of principal if NVIDIA declines up to 40%, and proportional losses beyond the 40% decline level. The filing notes that the diagram and examples do not show any effect of lost dividend yield over the term of the securities, as investors will not receive any dividends with respect to NVIDIA shares during the holding period.

The hypothetical examples included in the disclosure are explicitly stated to be solely for illustrative purposes and do not show all possible outcomes or constitute a prediction of actual payment at maturity. The examples are based on hypothetical values rather than the actual initial underlying value and final barrier value to simplify calculations. The filing emphasizes that the actual payment at maturity depends entirely on the actual final underlying value of NVIDIA on August 17, 2027, and investors should not rely on the illustrative examples as predictive of outcomes.

Distribution and Platform Provider Fees

Beyond the standard underwriting fee of $6.50 per security, Citigroup Global Markets Inc. will pay fees to electronic platform providers of up to $1.50 per security where selected dealers and custodians implement or utilize such providers for distributing the securities. This additional fee structure may incentivize certain distribution channels while raising costs that are ultimately borne by the issuer. The filing does not specify which platforms or custodians qualify for these additional fees or provide details on the expected distribution of securities across different channels.

The supplemental plan of distribution references in the pricing supplement are incorporated by reference but not detailed in the document itself. Investors must review the full prospectus supplement and prospectus documents, which are referenced via hyperlinks in the disclosure, to understand the complete distribution arrangements and any conflicts of interest that may arise from the various fee structures. The filing does not provide summary information about typical distribution channels for similar structured products or expected market reception for these particular securities.

Regulatory Status and Disclosure Framework

The securities were registered under Registration Statement Nos. 333-293732 and 333-293732-02 and offered pursuant to Rule 424(b)(2), which relates to delayed or continuous offerings. The pricing supplement cross-references accompanying documents including Product Supplement No. EA-02-12 dated February 25, 2026, and a Prospectus Supplement and Prospectus each dated February 25, 2026. The filing explicitly states that the Securities and Exchange Commission and state securities commissions have not approved or disapproved the securities and have not determined whether the pricing supplement and related documents are truthful or complete. The standard disclaimer appears stating that any representation to the contrary is a criminal offense.

The disclosure structure requires investors to read the pricing supplement in conjunction with the product supplement, prospectus supplement, and prospectus to obtain a complete understanding of the securities' terms, risks, and characteristics. The filing notes that the product supplement contains important information about closing value determination and adjustments for market disruption events that is not repeated in the pricing supplement itself. This multi-document approach to disclosure means that investors must gather information across several separate documents to fully evaluate the investment opportunity.