Citigroup Issues Callable Contingent Coupon Equity-Linked Securities Tied to Three Market Indices

Three-Year Structured Note Backed by Multiindex Underlying

The securities represent an unsecured debt obligation issued by Citigroup Global Markets Holdings Inc. and fully guaranteed by Citigroup Inc. The notes are structured as callable contingent coupon equity-linked securities, meaning they combine features of both debt and equity derivatives. The pricing supplement, filed as a Rule 424(b)(2) offering under registration statement numbers 333-293732 and 333-293732-02, discloses that the securities are linked to the worst-performing underlying among three equity benchmarks: the State Street Utilities Select Sector SPDR ETF, the S&P 500 Index, and the Russell 2000 Index.

The choice of three distinct underlyings—a utility sector ETF, a broad market index, and a small-cap benchmark—reflects a diversified yet downside-focused approach. Investors are exposed to the least favorable performance across all three, meaning even if two underlyings perform well, the worst performer's decline will determine coupon eligibility and final redemption value. This structure shifts investment risk away from interest rate exposure and toward equity market volatility and directional performance.

Contingent Coupon Structure and Coupon Barrier Schedule

The securities offer a contingent coupon equal to 0.8542% of the stated principal amount per coupon payment date, equivalent to an annualized rate of approximately 10.25%. However, this coupon is contingent on a critical condition: the closing value of the worst-performing underlying must be greater than or equal to its then-applicable coupon barrier value on each valuation date. If this threshold is breached, investors receive no coupon payment on the following coupon payment date.

The valuation schedule includes 21 valuation dates beginning August 24, 2026, and concluding on the final valuation date before maturity. The coupon barrier values start at 85% of initial underlying values for the first valuation date, decline to 80% for the second date, then reset to 70% for all remaining dates from October 26, 2026, through maturity. This tiered structure creates an initial period of higher coupon eligibility thresholds followed by a longer period with a fixed 70% floor. Contingent coupon payments are scheduled for the fifth business day after each valuation date, with the final coupon payment coinciding with the maturity date unless the issuer exercises its call option.

Initial Underlying Values and Buffer Parameters

On the pricing date of July 24, 2026, the disclosure filing identifies the following closing values as initial underlying values: the State Street Utilities Select Sector SPDR ETF at $46.29, the S&P 500 Index at 7,411.98, and the Russell 2000 Index at 2,929.999. These values serve as reference points for all performance measurements throughout the security's life. The filing also establishes a final buffer value for each underlying set at 75% of its initial underlying value—representing a 25% depreciation threshold below which principal repayment begins to decline.

The buffer percentage of 25% is central to understanding principal risk at maturity. If the worst-performing underlying closes below its final buffer value on the final valuation date, investors face principal loss. The buffer rate, calculated as the initial underlying value divided by the final buffer value for the worst performer, is approximately 133.3333%. This mathematical relationship means that for every percentage point the worst performer declines below the 25% buffer threshold, investors lose more than 1% of principal on a leveraged basis. The filing explicitly warns that if the worst-performing underlying depreciates by more than 25%, investors will experience accelerated principal loss.

Principal Payment Structure and Downside Equity Exposure

At maturity on May 30, 2029, unless earlier redeemed through the issuer's call option, investors will receive one of two outcomes. If the final underlying value of the worst-performing underlying is greater than or equal to its final buffer value (meaning the worst performer has not declined more than 25%), investors receive the full stated principal amount of $1,000 per security. If the final value falls below the buffer level, the payment formula adjusts downward according to the published calculation: $1,000 plus [$1,000 multiplied by the buffer rate multiplied by (the underlying return of the worst performer plus the buffer percentage)].

This formula creates a scenario where investors absorb equity market risk directly. Unlike traditional notes, which maintain principal value regardless of market conditions, these securities require investors to accept that their redemption amount may be substantially less than $1,000. The filing provides no numerical examples of potential maturity payouts, leaving investors to calculate scenarios themselves. The disclosure emphasizes that principal recovery is zero-based if the worst performer depreciates sufficiently, and that investors receive no dividends from underlying ETFs or indices nor participate in any upside appreciation.

Callable Feature and Issuer Redemption Rights

Citigroup Global Markets Holdings Inc. retains the right to redeem the securities at par prior to maturity on any potential redemption date specified in the offering terms. Although the pricing supplement does not elaborate on which dates constitute potential redemption dates, the inclusion of a call option reserves the right for Citigroup to terminate the investment early. This feature creates reinvestment risk for investors: should markets move favorably and coupon barriers are repeatedly cleared, Citigroup may choose to terminate the investment and return principal, forcing investors to reinvest proceeds in a potentially different rate environment.

The callable nature of these securities is typical for structured products but introduces an asymmetry in risk and reward. Investors benefit from higher contingent coupons only if the issuer chooses not to call the security and if market conditions remain favorable enough to satisfy coupon barriers. Conversely, the issuer benefits from upside market movements by exercising the call option, while retaining downside protection through the contingent coupon mechanics and the worst-performer linkage that naturally limits its coupon obligations during equity market declines.

Valuation and Secondary Market Considerations

The pricing supplement discloses that on the pricing date, Citigroup Global Markets Inc.'s internal proprietary pricing models estimated the value of the securities at $988.40 per security, substantially below the $1,000 issue price. This $11.60 per-security discount reflects the embedded risks: contingent coupon uncertainty, principal depreciation risk, and call option value retained by the issuer. The filing explicitly states 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 valuation disclosure is material to secondary market expectations. The securities will not be listed on any securities exchange, meaning investors seeking liquidity after purchase must rely on over-the-counter sales through Citigroup Global Markets Inc. or other dealers. The pricing supplement warns that investors must be "willing to accept an investment that may have limited or no liquidity." The valuation methodology uses CGMI's internal funding rates and proprietary models, which may differ from market-based pricing methodologies, introducing potential valuation uncertainty for investors considering secondary market transactions.

Offering Size and Distribution Terms

The total offering comprises 49,479 securities, each with a stated principal amount of $1,000, yielding gross proceeds of $49,479,000 before fees. The underwriting fee is $2.00 per security, totaling $98,958.00. Net proceeds to the issuer are $49,380,042.00 after deducting underwriting fees. Citigroup Global Markets Inc. acts as principal underwriter for the offering. For investors in fee-based advisory accounts, the issue price may be adjusted downward to $998.00 or up to $1,000.00 depending on custodial fees charged by selected dealers, introducing potential pricing variations based on account structure.

The disclosure filing notes that in addition to underwriting fees, Citigroup Global Markets Inc. and its affiliates may generate additional profits through hedging activity related to the offering. The filing explicitly states this hedging profit opportunity exists "even if the value of the securities declines," highlighting a potential conflict of interest inherent to structured products. The issuer profits from both the underwriting fee and from managing its hedges of the embedded derivatives, regardless of whether investors receive beneficial returns.

Credit Risk and Guarantee Structure

All payments on the securities—contingent coupons and principal—are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the direct issuer, and Citigroup Inc., the guarantor. While Citigroup Inc.'s full and unconditional guarantee provides an additional layer of credit support, both entities must remain solvent and able to pay for investors to receive full promised amounts. The securities are unsecured obligations, meaning they rank pari passu with other unsecured debt and are junior to any secured obligations Citigroup entities may have outstanding.

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 language is significant because it clarifies that despite Citigroup Inc. being a major banking institution, these particular securities lack the deposit insurance protections that retail bank customers may associate with Citigroup products. Investors relying on the guarantee depend entirely on Citigroup's creditworthiness and willingness to pay, not on federal insurance programs.

Risk Factors and Investment Suitability Warnings

The pricing supplement identifies multiple overlapping risks that distinguish these securities from conventional debt. Investors must accept that actual yield may be lower than that of conventional Citigroup debt of the same maturity because contingent coupon payments may be skipped entirely if market conditions breach coupon barriers. The redemption value at maturity "may be significantly less than the stated principal amount of your securities, and may be zero," with this outcome depending solely on the worst-performing underlying's price movement relative to the buffer level.

The filing further warns that investors are "subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in any one of the underlyings." This means that even if two of the three underlyings remain stable or appreciate, a steep decline in the Russell 2000 Index, for example, could eliminate all coupon payments and principal recovery. Conversely, investors "will not receive dividends with respect to any underlying or participate in any appreciation of any underlying," meaning they capture downside risk without upside participation—a risk-asymmetric payoff structure.

Prospectus Documentation and Regulatory Filings

The offering is registered under Securities and Exchange Commission registration statement numbers 333-293732 and 333-293732-02 and filed as a Rule 424(b)(2) prospectus supplement. The complete disclosure documentation consists of four separate components: the pricing supplement itself (dated July 24, 2026), Product Supplement No. EA-04-12 (dated February 25, 2026), Underlying Supplement No. 13 (dated February 25, 2026), and Prospectus Supplement and Prospectus (both dated February 25, 2026). The regulatory filing includes hyperlinks to these related documents, though the pricing supplement reviewed here does not provide the detailed risk disclosures contained in the full prospectus.

The filing includes the standard SEC disclaimer stating 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." This language reinforces that SEC review is limited to procedural compliance and does not constitute endorsement of the offering's investment merit or suitability for particular investor classes.