Citigroup Issues Callable Contingent Coupon Notes Linked to Global Market Indices Through July 2029

Structure and Underlyings of the Equity-Linked Securities

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued the Medium-Term Senior Notes, Series N, with all payments fully and unconditionally guaranteed by Citigroup Inc. The securities are linked to the performance of three major global equity indices: the iShares MSCI EAFE ETF, the Nasdaq-100 Index, and the S&P 500 Index. The pricing structure is distinctive in that investor returns depend solely on the worst-performing underlying rather than the best or an average. This approach transfers concentration risk to investors, who face negative exposure to whichever benchmark declines most relative to its initial level.

On the pricing date of July 24, 2026, the closing values for the three underlyings were disclosed as follows: the iShares MSCI EAFE ETF at $103.41, the Nasdaq-100 Index at 28,128.34, and the S&P 500 Index at 7,411.98. These initial values establish the baseline against which subsequent performance is measured. The coupon barrier value and final barrier value for each underlying were set at 70.00% of their respective initial underlying values, meaning the iShares MSCI EAFE ETF has a barrier at $72.387, the Nasdaq-100 Index at 19,689.838, and the S&P 500 Index at 5,188.386. These barriers determine both coupon eligibility and principal repayment calculations at maturity.

Contingent Coupon Payment Terms and Valuation Schedule

The securities provide for contingent coupon payments of 2.95% of the stated principal amount on each coupon payment date, equivalent to an annualized rate of 11.80%. However, these coupons are paid only if the worst-performing underlying closes at or above its coupon barrier value on the immediately preceding valuation date. If the worst-performing underlying falls below its coupon barrier on any valuation date, investors will receive no contingent coupon payment on the following payment date, creating significant downside exposure with no mitigation from dividend participation or index appreciation.

The securities establish 13 valuation dates spaced approximately quarterly: October 26, 2026, January 25, 2027, April 26, 2027, July 26, 2027, October 25, 2027, January 24, 2028, April 24, 2028, July 24, 2028, October 24, 2028, January 24, 2029, April 24, 2029, and July 24, 2029. The final valuation date determines the worst-performing underlying's closing value for principal repayment calculations. All valuation dates are subject to postponement if they do not fall on a scheduled trading day or if certain market disruption events occur. Contingent coupon payments are scheduled for the third business day following each valuation date, with the payment following the final valuation date coinciding with the maturity date of July 27, 2029.

Principal Repayment and Downside Risk at Maturity

At maturity on July 27, 2029, unless the securities are earlier redeemed, investors will receive their stated principal amount of $1,000 per security only if the final underlying value of the worst-performing index remains at or above its final barrier value of 70% of initial value. If the worst-performing underlying closes above this 70% barrier on the final valuation date, the investor receives the full $1,000 principal plus any applicable final contingent coupon payment. However, if the worst-performing underlying falls below the final barrier value, the investor receives $1,000 plus a loss equal to the underlying return percentage, multiplied by $1,000.

The disclosure emphasizes that under adverse market conditions, investors may receive significantly less than the stated principal amount and possibly nothing at all. For example, if the worst-performing underlying declines 50% from its initial value, an investor would receive $500 at maturity rather than the full $1,000 principal. The prospectus notes that investors will not receive dividends with respect to any underlying or participate in any appreciation of any underlying, meaning they bear downside risk without the cushion of dividend income that equity investors might receive. This asymmetric payoff structure is central to why the contingent coupon rate is substantially higher than conventional Citigroup debt securities of the same maturity.

Callable Nature and Issuer Redemption Rights

Citigroup retains the right to call the securities for mandatory redemption, in whole but not in part, on any potential redemption date. Potential redemption dates are aligned with contingent coupon payment dates beginning January 25, 2027, and continuing through April 24, 2029. The issuer must provide not less than three business days' notice before exercising the call right. Upon redemption, investors receive $1,000 plus the related contingent coupon payment, if any, on the redemption date. This call feature provides Citigroup with flexibility to exit the position early if market conditions prove unfavorable or if the embedded optionality becomes costly relative to funding rates.

The call feature creates timing uncertainty for investors. An investor who has purchased the securities with the expectation of receiving enhanced yield over three years faces the possibility that Citigroup may redeem the notes after receiving only a single or two contingent coupon payments if circumstances warrant. This feature is particularly valuable to the issuer in rising index environments where the cost of hedging declines but may be disadvantageous to investors who expect consistent coupon income through the maturity date.

Pricing, Valuation, and Underwriting Economics

The securities were issued on July 29, 2026, at a price of $1,000 per security, generating total proceeds to the issuer of $3,560,000. The filing discloses that on the pricing date of July 24, 2026, Citigroup Global Markets Inc. estimated the value of the securities at $981.10 per security, which is $18.90 or 1.89% less than the issue price. The company explicitly stated that this estimated value is based on Citigroup's proprietary pricing models and internal funding rate, and is not an indication of actual profit to Citigroup or other affiliates, nor does it represent a price at which Citigroup would be willing to repurchase the securities from investors after issuance.

Citigroup Global Markets Inc. served as the underwriter for the offering, acting as principal, and received no explicit underwriting fee. However, Citigroup Global Markets Inc. will pay selected dealers a structuring fee of up to $4.50 per security sold, and will also compensate electronic platform providers for implementation or utilization of their systems. The prospectus notes that Citigroup Global Markets Inc. and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. This potential for affiliate profit from hedging reflects the embedded derivative nature of the contingent coupon and final payout structure, which Citigroup likely hedges through index futures, options, or other derivatives.

Credit Risk and Guarantee Structure

All payments 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. The disclosure states clearly that the securities are unsecured debt obligations and are not bank deposits, nor are they insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Investors depend entirely on the creditworthiness of Citigroup Inc. for repayment of principal and contingent coupon payments.

The guarantee by Citigroup Inc., the parent company, provides additional assurance relative to the subsidiary issuer alone, as it ensures that claims against the securities would be backed by Citigroup's balance sheet and credit standing. However, investors should recognize that a deterioration in Citigroup's credit profile or a default by Citigroup Inc. would result in investors losing both principal and accrued coupon payments. The filing does not identify any credit enhancements, subordination provisions, or collateral backing the securities.

Liquidity and Secondary Market Considerations

The securities will not be listed on any securities exchange and the prospectus explicitly warns investors that the investment may have limited or no liquidity. This means that after purchase, investors may face significant difficulty selling the securities before maturity without accepting substantial discounts. Secondary market prices, if available at all, may be considerably lower than the original issue price or the estimated value on the pricing date, depending on changes in interest rates, credit spreads, and underlying index performance. The absence of exchange listing eliminates the transparency and price discovery that exchange trading provides.

Liquidity risk is particularly acute for structured notes of this type, as most secondary market activity occurs through dealers who may be unwilling to maintain two-way markets in lower-volume securities. Investors who need to exit their position before maturity may be forced to contact a Citigroup representative or use a financial intermediary, and the bid-ask spread could be substantial. For long-term investors comfortable holding to maturity and accepting the embedded risks, liquidity is less relevant; however, for investors who may need to access their capital before July 2029, the lack of liquidity represents a meaningful constraint.

Worst-Performing Underlying and Concentration of Risk

A critical feature of these securities is that investor outcomes depend on the worst-performing underlying rather than an average or best-performing index. This design concentrates risk by ensuring that if any one of the three underlyings significantly underperforms, the entire security will suffer. For example, if the S&P 500 and Nasdaq-100 remain relatively flat but the MSCI EAFE ETF declines sharply, investors would experience the full impact of the EAFE decline on both coupon payments and principal repayment. The filing states that investors will be negatively affected by adverse movements in any one of the underlyings, even if the other two perform well.

This worst-performing structure amplifies geographic and sector concentration risk. The MSCI EAFE ETF provides exposure to developed markets outside North America, particularly Europe and Japan; the Nasdaq-100 Index focuses on large-cap technology and growth stocks; and the S&P 500 Index represents broad US large-cap equities. An investor holds long exposure to all three simultaneously but receives the downside of whichever performs worst. Unlike a diversified portfolio that might benefit from diversification across geographies and sectors, these securities ensure that diversification provides no protection against the worst-case performer. This asymmetry is the reason for the elevated contingent coupon rate.

Summary Risk Factors and Investor Suitability

The prospectus contains a section titled "Summary Risk Factors" beginning on page PS-6 of the filing, though the specific risk factors are not reproduced in the pricing supplement itself. The document emphasizes that investing in the securities involves risks not associated with conventional debt securities. Key risks outlined in the opening disclosure include the possibility that actual yield may be lower than conventional debt of the same maturity due to missed contingent coupon payments, and that the value of principal repayment may be significantly less than the stated $1,000 amount, potentially zero.

The issuer explicitly states that prospective investors must be willing to accept these risks and that the securities are appropriate only for investors who understand and are comfortable with equity-linked derivatives, contingent coupon structures, and the credit risk of Citigroup. The filing recommends that investors read the accompanying product supplement, underlying supplement, prospectus supplement, and full prospectus together with the pricing supplement before making a purchase decision. This multi-document structure reflects the complexity of the security and the regulatory requirement to ensure that investors have comprehensive disclosure of all material terms and risks.

Registration and Regulatory Framework

The securities were issued pursuant to Citigroup's existing registration statements, numbered 333-293732 and 333-293732-02, filed with the Securities and Exchange Commission. The pricing supplement itself was filed as a Form 424(b)(2) offering document, which is the appropriate form for post-effective amendments to registration statements relating to specific securities offerings. The document cross-references Product Supplement No. EA-04-12 dated February 25, 2026, Underlying Supplement No. 13 dated February 25, 2026, and Prospectus Supplement and Prospectus each dated February 25, 2026, all of which are incorporated by reference into the offering materials.

The SEC and state securities commissions have not approved or disapproved these securities or determined that the pricing supplement and accompanying documents are truthful or complete. The filing includes a standard disclaimer noting that any representation to the contrary would constitute a criminal offense. Investors are encouraged to access the full prospectus and supplements via hyperlinks embedded in the pricing supplement to obtain comprehensive information about the securities, the underlyings, and all material risks prior to investing.