Citigroup Issues Callable Contingent Coupon Securities Linked to Nasdaq-100, Russell 2000 and S&P 500 Indices

Structure of the Three-Index Linked Securities

The securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. are linked to the performance of three major market indices: the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index. The filing discloses that the pricing date was July 24, 2026, with an issue date of July 29, 2026. On the pricing date, the Nasdaq-100 Index closed at 28,128.34, the Russell 2000 Index at 2,929.999, and the S&P 500 Index at 7,411.98. These closing values serve as the initial underlying values for purposes of calculating returns throughout the life of the securities.

A critical feature of this offering is that investors' outcomes depend entirely on the worst-performing of the three indices. The disclosure explains that while investors bear downside exposure to whichever index performs most poorly, they will not receive dividends paid on any of the underlying indices nor participate in any appreciation of the underlying indices themselves. This asymmetric risk structure creates a meaningful disadvantage for holders, as they absorb losses from the weakest performer while receiving no upside benefit from positive price movements in the underlyings.

Contingent Coupon Mechanics and Payment Conditions

The filing sets forth detailed mechanics governing when and whether contingent coupon payments will be made. On each of 23 scheduled valuation dates, the closing value of the worst-performing underlying is compared to its coupon barrier value, which the disclosure establishes as 70% of each underlying's initial value. For the Nasdaq-100, this barrier is 19,689.838; for the Russell 2000, 2,050.999; and for the S&P 500, 5,188.386. If the worst-performing underlying closes at or above its coupon barrier on any valuation date, investors receive a contingent coupon payment equal to 1.0142% of the $1,000 stated principal amount on the third business day after that valuation date.

Conversely, if the worst-performing underlying closes below its coupon barrier on any valuation date, no contingent coupon payment is made on the following contingent coupon payment date. The disclosure emphasizes that investors may receive none of the contingent coupon payments if the worst-performing underlying falls below its barrier on any of the 23 valuation dates scheduled through June 26, 2028. The contingent coupon rate of approximately 12.17% per annum is materially higher than yields available on conventional Citigroup debt of comparable maturity, reflecting compensation for the contingent payment risk investors assume.

Maturity Payout Structure and Downside Risk

The filing details the two scenarios investors face at maturity on June 29, 2028. If the worst-performing underlying's closing value on the final valuation date (June 26, 2028) is greater than or equal to its final barrier value (also 70% of initial value), the investor receives the full stated principal amount of $1,000 per security plus any final contingent coupon payment if applicable. However, if the worst-performing underlying closes below its final barrier value, the investor receives $1,000 plus a payment calculated as $1,000 multiplied by the underlying return of the worst-performing index.

The filing explicitly warns that if the worst-performing underlying declines below its final barrier value, "you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity." Given that the final barrier values represent a 30% decline from initial levels across all three indices, investors face substantial downside exposure. A decline of 30% or more in the best-performing of the three indices during the approximately two-year holding period could result in complete loss of principal. The disclosure notes that in such a scenario, no contingent coupon payment will be made at maturity, eliminating all yield benefit.

Issuer Call Rights and Redemption Terms

Citigroup Global Markets Holdings Inc. retains the right to call the securities at its sole discretion on 20 specified potential redemption dates, corresponding to contingent coupon payment dates scheduled from October 26, 2026, through May 24, 2028. The filing states that the issuer may call the securities "in whole and not in part" for mandatory redemption upon not less than three business days' notice. Upon redemption, investors receive $1,000 per security plus any applicable contingent coupon payment due on that date.

This call feature creates timing risk for investors. If the securities perform well and the underlying indices remain above their coupon barriers, the issuer has strong incentive to redeem the securities to eliminate ongoing contingent coupon obligations. Conversely, if performance has been poor and no contingent coupons have been paid, the issuer can eliminate unprofitable positions. Investors thus benefit only from the contingent coupon payments received up to the redemption date and cannot participate in potential future appreciation, effectively capping returns while maintaining full downside risk.

Valuation and Secondary Market Considerations

The filing discloses that on the pricing date, the estimated value of the securities based on Citigroup Global Markets Inc.'s proprietary pricing models was $980.00 per security, substantially below the $1,000 issue price. The disclosure emphasizes that this valuation "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 statement acknowledges the wide gap between issue price and estimated fair value.

The filing indicates that "the securities will not be listed on any securities exchange," creating significant liquidity constraints for investors seeking to exit positions prior to maturity or redemption. Secondary market purchases or sales would likely depend on finding individual buyers willing to transact at negotiated prices, and no market-making commitment is disclosed. The filing states that investors "must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations," underscoring credit and liquidity risks inherent in these unsecured debt securities.

Credit Risk and Guarantee Structure

All payments due under the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent of the issuer Citigroup Global Markets Holdings Inc. The filing emphasizes that the securities are "unsecured debt securities issued by Citigroup Global Markets Holdings Inc." and 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." However, the ultimate recourse for payment depends on the creditworthiness of both the subsidiary issuer and its parent guarantee.

The disclosure explicitly states 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 clarification removes any possibility of FDIC protection or treatment as bank obligations. Investors face counterparty credit risk should Citigroup or its subsidiary experience financial distress, in addition to the index-linked performance risk.

Offering Size, Pricing, and Distribution Economics

The filing discloses that the total offering consists of 1,220 securities with a stated principal amount of $1,000 each, generating $1,220,000 in total proceeds. The issue price is $1,000 per security with no underwriting fee charged to the issuer, as all proceeds flow directly to Citigroup Global Markets Holdings Inc. The offering was led by Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acting as principal underwriter.

However, the distribution structure includes embedded fees paid to intermediaries. CGMI will pay selected dealers a structuring fee of up to $3.75 per security sold, plus up to $5.00 per security to other firms providing marketing, education, structuring or referral services with respect to financial advisors and selected dealers. Additionally, CGMI will compensate electronic platform providers up to $1.50 per security where such platforms are utilized. These fees total up to $10.25 per security, or approximately 1.03% of the issue price, reducing net proceeds if passed through to investors. The filing notes that "CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines," creating potential conflicts of interest where the arranger profits while security values depreciate.

Index Selection and Worst-Performer Exposure

The three indices chosen—Nasdaq-100, Russell 2000, and S&P 500—represent different market segments and volatility characteristics. The Nasdaq-100 concentrates on large-cap technology and growth companies, the Russell 2000 tracks small-cap U.S. equities, and the S&P 500 represents broad large-cap U.S. market performance. By linking to the worst-performing of these three indices, the securities expose investors to whichever segment underperforms most significantly during the two-year holding period.

The filing's language regarding "worst performing underlying" emphasizes that the underlying return is calculated as the percentage change from initial underlying value to valuation date closing value. This means that even if two indices perform reasonably well, deterioration in one index can eliminate all contingent coupon payments. For example, if the Russell 2000 declines 15% while the Nasdaq-100 and S&P 500 remain flat, investors receive no contingent coupon payments because the Russell 2000 is the worst performer. This structure creates compounding downside risk across three uncorrelated segments.

Regulatory Filing and Transparency Disclosures

The pricing supplement was filed on July 28, 2026, pursuant to Rule 424(b)(2) under the Securities Act of 1933, with reference to registration statement numbers 333-293732 and 333-293732-02. The document is designated Pricing Supplement No. 2026-USNCH33191 for the Medium-Term Senior Notes, Series N. The CUSIP number is 17334C5A8 and the ISIN is US17334C5A87, allowing investors and market participants to identify and track the securities electronically.

The filing incorporates by reference a Product Supplement, Underlying Supplement, Prospectus Supplement, and full Prospectus, all dated February 25, 2026. The disclosure states that investors "should read this pricing supplement together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus." The SEC has not approved or disapproved these securities or determined that the disclosure documents are truthful or complete, consistent with standard securities law disclaimers. Citibank, N.A. serves as paying agent for the offering, responsible for processing coupon and principal payments on scheduled dates.

Investor Considerations and Risk Profile

The filing describes the securities as involving "risks not associated with an investment in conventional debt securities." Investors must accept that actual yield may be substantially lower than yields on conventional Citigroup debt of similar maturity because contingent coupon payments may not be received. The high annualized coupon rate of approximately 12.17% represents compensation for this contingency; investors effectively accept the possibility of zero coupon payments in exchange for higher potential yield.

The disclosure notes that "you will not receive dividends with respect to any underlying or participate in any appreciation of any underlying," limiting returns to the contingent coupon payments and the return of principal (or loss thereof) at maturity. If any of the three indices appreciates significantly, investors do not benefit from that appreciation. Only if the worst-performing index remains above its barrier level will contingent coupons be paid, and only if the worst-performing index does not decline more than 30% will investors recover full principal. This creates a scenario where investors capture downside risk across three major equity indices while retaining no upside participation.