Citigroup Issues Callable Contingent Coupon Equity-Linked Securities Due 2028

Structure and Terms of the Equity-Linked Offering

The disclosure outlines a structured debt product issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by the parent company. The securities are unsecured debt instruments designed to provide investors with higher periodic payments than conventional debt of comparable maturity, conditioned on the performance of three major stock indices. The stated principal amount for each security is $1,000, with an issue date of July 29, 2026, and a maturity date of July 27, 2028, unless earlier redeemed by the issuer.

The three underlyings tracked by the securities are the Nasdaq-100 Index, Russell 2000 Index, and S&P 500 Index. According to the disclosure, the initial underlying values on the pricing date of July 24, 2026, were 28,128.34 for the Nasdaq-100, 2,929.999 for the Russell 2000, and 7,411.98 for the S&P 500. The structure emphasizes worst-performing index exposure, meaning the security's payments will be determined solely by whichever of the three indices exhibits the poorest performance from the pricing date forward.

Contingent Coupon Payment Mechanism and Barriers

The securities will pay contingent coupon payments on 25 scheduled valuation dates between August 24, 2026, and July 24, 2028. On each contingent coupon payment date, investors will receive 0.9667% of the stated principal amount—equivalent to approximately 11.60% per annum if all payments are made—provided the closing value of the worst-performing underlying on the preceding valuation date is greater than or equal to its coupon barrier value. The coupon barrier value is set at 70% of each index's initial underlying value: 19,689.838 for the Nasdaq-100, 2,050.999 for the Russell 2000, and 5,188.386 for the S&P 500.

If the worst-performing underlying closes below its coupon barrier on any valuation date, investors will not receive a contingent coupon payment on the following payment date. This structure means that contingent coupon payments are entirely conditional on performance and are not guaranteed. The disclosure emphasizes that investors may receive some, all, or no contingent coupon payments over the life of the securities, depending on whether the worst-performing index remains above the 70% barrier on each valuation date.

Principal Repayment and Downside Scenarios at Maturity

At maturity on July 27, 2028, unless the securities are earlier redeemed, investors will receive payment based on the final performance of the worst-performing underlying. The disclosure specifies two scenarios. If the final underlying value of the worst-performing index on the final valuation date (July 24, 2028) is greater than or equal to its final barrier value—set at 60% of the initial underlying value—investors receive $1,000 per security, plus any applicable final contingent coupon payment.

However, if the worst-performing underlying closes below its final barrier value (60% of its initial value), investors receive significantly less than the stated principal amount. In this scenario, the repayment equals $1,000 plus the underlying return of the worst-performing index multiplied by $1,000. This formulation means that if an index declines 40% from its initial value, investors would recover only $600 per security; a decline of 50% or more would result in repayment of $500 or less per security. The disclosure explicitly warns that investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity" if the worst-performing underlying falls below the final barrier, and further notes that no contingent coupon payment would be due at maturity in such circumstances.

Issuer Call Rights and Redemption Structure

Citigroup Global Markets Holdings Inc. has the right to call the securities for mandatory redemption on any of 22 potential redemption dates, corresponding to specific contingent coupon payment dates scheduled between October 26, 2026, and June 26, 2028. The issuer must provide not less than three business days' notice before exercising this call right. If the issuer calls the securities, investors will receive $1,000 per security plus any applicable contingent coupon payment due on that redemption date.

The inclusion of call rights provides the issuer with flexibility to terminate the securities early should market conditions prove favorable, but limits investors' ability to extend their exposure beyond the initial maturity date. From an investor perspective, the call feature means the maximum duration of the investment is capped at approximately two years, even if investors anticipate favorable future performance of the underlying indices.

Pricing and Valuation Considerations

The disclosure indicates that the securities were issued at $1,000 per security, with Citigroup Global Markets Inc. receiving an underwriting fee of $7.00 per security, resulting in net proceeds to the issuer of $993.00 per security. The total offering raised $12,561,000 in gross proceeds, with underwriting fees totaling $87,927.00 and net proceeds to the issuer of $12,473,073.00. Additionally, Citigroup Global Markets Inc. agreed to pay electronic platform providers up to $1.50 per security sold where selected dealers and custodians utilize such platforms.

The disclosure states that on the pricing date, the estimated value of the securities was $985.00 per security, notably less than the $1,000 issue price. According to the filing, this estimated value is based on the underwriter's proprietary pricing models and internal funding rate. The disclosure explicitly cautions that this estimated value "is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance." This language highlights a material difference between the issue price and estimated fair value, suggesting the securities carried inherent pricing costs to the investor at issuance.

Risk Profile and Credit Exposure

The disclosure emphasizes that investors accept substantial downside risks in exchange for the potentially higher contingent coupon payments. Specifically, investors have "downside exposure to the worst performing underlying" but will not "receive dividends with respect to any underlying or participate in any appreciation of any underlying." This asymmetry means investors bear the full downside of index declines but receive no benefit from dividend payments or index appreciation beyond the principal repayment at maturity.

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and its parent, Citigroup Inc. Although Citigroup Inc. has provided an unconditional guarantee of all payments, investors remain exposed to the possibility that both entities might default on their obligations. The disclosure notes that "investors must be willing to accept...the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations." Additionally, the securities are described as investments "that may have limited or no liquidity," and investors are cautioned that the securities will not be listed on any securities exchange.

Comparison to Conventional Debt and Investor Suitability

The structure of these securities inherently trades lower certainty of income for potentially higher returns compared to conventional debt instruments of similar maturity. While a conventional Citigroup debt security maturing in two years might pay a fixed coupon semi-annually, these equity-linked securities offer contingent coupons of approximately 11.60% per annum only if the worst-performing index remains above the 70% barrier on each valuation date. For an investor requiring reliable income streams, the conditionality of these payments introduces material uncertainty.

The disclosure stresses that "you must be willing to accept the risks that (i) your actual yield may be lower than the yield on our conventional debt securities of the same maturity because you may not receive one or more, or any, contingent coupon payments, and (ii) the value of what you receive at maturity may be significantly less than the stated principal amount of your securities, and may be zero." This framing underscores that the higher coupon rate is compensation for accepting performance-based payment conditions and principal-at-risk exposure, rather than a guaranteed enhancement to returns.

Valuation Dates and Payment Schedule

The securities feature 25 valuation dates scheduled monthly from August 24, 2026, through July 24, 2028. The disclosure notes that each valuation date is "subject to postponement if such date is not a scheduled trading day or certain market disruption events occur," providing flexibility in the event of market closures or extraordinary circumstances. Contingent coupon payment dates are scheduled for the third business day following each valuation date, except that the contingent coupon payment date following the final valuation date coincides with the maturity date of July 27, 2028.

This monthly valuation frequency creates 25 separate decision points for the issuer's call right and 25 separate payment determination moments for investors. The tight monthly schedule means investors receive frequent updates on performance relative to the coupon barrier, but also face the administrative burden of monitoring 25 distinct valuation dates and associated payment mechanics over the two-year holding period.

Hedging Implications and Affiliate Profits

The disclosure includes a statement that "CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines." This disclosure acknowledges that Citigroup Global Markets Inc., in its role as underwriter, will likely enter into derivative hedging positions to manage its exposure to the securities it sells. These hedging activities could generate trading profits for Citigroup and its affiliates independent of the performance of the underlying indices or the financial performance of the securities themselves. Investors should recognize that the issuer and its affiliates have economic incentives that may not align with investor interests once the securities are issued and hedging positions are established.

Regulatory Filing and Offering Status

The pricing supplement was filed with the Securities and Exchange Commission on July 28, 2026, pursuant to Rule 424(b)(2), indicating the securities are registered offerings made under Registration Statement Nos. 333-293732 and 333-293732-02. The offering materials reference accompanying product supplement, underlying supplement, prospectus supplement, and prospectus documents dated February 25, 2026, each of which investors are directed to review in conjunction with the pricing supplement. The CUSIP identifier is 17334C4Z4, with ISIN US17334C4Z48.

The offering is administered with Citibank, N.A. serving as paying agent, responsible for making all scheduled payments and handling maturity redemptions. The disclosure includes a mandatory statement that "neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete." The disclosure further notes 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," underscoring the unsecured nature of the investment.