Citigroup Issues Callable Contingent Coupon Securities Linked to Worst Performing Index of Three Market Benchmarks

Structure and Terms of the Medium-Term Senior Notes Offering

Citigroup Global Markets Holdings Inc. disclosed the pricing of callable contingent coupon equity-linked securities maturing July 26, 2029, in a filing dated July 27, 2026. The securities, designated as Medium-Term Senior Notes Series N, are unsecured debt obligations of the issuer and are fully and unconditionally guaranteed by Citigroup Inc. The announced issue price is $1,000 per security, with a total offering size of $1,539,000 based on the disclosed underwriting arrangement. The securities do not trade on any securities exchange and are sold directly by Citigroup Global Markets Inc., an affiliate of the issuer, acting as principal underwriter.

Each security has a stated principal amount of $1,000 and a maturity date of July 26, 2029, assuming no early redemption. The filing indicates that the securities contain features distinct from conventional debt: investors receive potential contingent coupon payments rather than fixed coupons, and the principal amount returned at maturity is contingent on market performance. The document emphasizes that these securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, positioning them as market-linked investment products rather than traditional bank offerings.

Three Underlying Market Indices and Initial Valuation Levels

The securities derive their performance characteristics from three underlying indices and instruments. According to the filing, the Nasdaq-100 Index had an initial underlying value of 28,454.81 as of the pricing date of July 23, 2026. The Russell 2000 Index was valued at 2,940.163 on the same date. The State Street SPDR S&P Regional Banking ETF had an initial value of $75.15. These initial values establish the baseline against which performance is measured and serve as the foundation for calculating coupon barrier values and final barrier values throughout the security's life.

The filing discloses that coupon barrier values and final barrier values for each underlying are set at 60% of their respective initial underlying values. For the Nasdaq-100 Index, this translates to a barrier level of 17,072.886. The Russell 2000 Index carries a coupon barrier value of 1,764.098, and the State Street SPDR S&P Regional Banking ETF barrier is set at $45.090. These barrier levels are critical determinants of whether investors receive contingent coupon payments and what principal amount they will receive at maturity. The use of identical coupon and final barrier values for each underlying simplifies the security structure but means that any of the three underlyings could potentially breach barriers during the security's term.

Contingent Coupon Payment Structure and Conditions

The securities offer contingent coupon payments scheduled on the third business day following each of 36 valuation dates, with the final contingent coupon payment coinciding with the maturity date. The filing specifies that the contingent coupon equals 0.825% of the stated principal amount, equivalent to a contingent coupon rate of 9.90% per annum. However, this coupon is contingent: investors receive payment only if the closing value of the worst-performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value.

The worst-performing underlying is defined in the disclosure as the underlying with the lowest underlying return as of any given valuation date. This means that if any of the three indices or the ETF declines below its 60% barrier level, investors forfeit the coupon payment for that period entirely. The filing emphasizes that if the worst-performing underlying's closing value falls below its coupon barrier value on any valuation date, no contingent coupon will be paid on the following contingent coupon payment date. The monthly valuation schedule extends from August 24, 2026 through July 23, 2029, providing numerous opportunities for the worst performer to breach the barrier and eliminate coupon payments. Investors receive no compensation or makeup payments if contingent coupons are missed.

Principal Repayment Risk and Maturity Payment Scenarios

The filing discloses two distinct principal payment scenarios at maturity on July 26, 2029, both dependent on the performance of the worst-performing underlying. If the final underlying value of the worst-performing underlying on the final valuation date (July 23, 2029) is greater than or equal to its final barrier value of 60% of initial value, investors receive $1,000—their stated principal amount. However, if the worst-performing underlying closes below its final barrier value, investors receive significantly reduced principal: $1,000 plus ($1,000 times the underlying return of the worst-performing underlying on the final valuation date). The filing warns explicitly that in this scenario, investors "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity."

The underlying return calculation means that if the worst-performing underlying declines by 40% (reaching 60% of its initial value), investors break even at principal; any further decline reduces the principal received dollar-for-dollar. If the worst performer declines more than 100% of its initial value, the filing indicates investors could receive zero or negative values, though the legal mechanism for negative payments is not specified in this disclosure excerpt. In such scenarios, investors also forfeit the final contingent coupon payment. This structure means the securities carry significant downside risk and investors have no protection against losses once the 60% threshold is breached.

Call Rights and Mandatory Redemption Provisions

The issuer has retained the right to call the securities for mandatory redemption on any of 29 potential redemption dates, with the earliest being the contingent coupon payment date related to the January 25, 2027 valuation date. Redemption dates extend through June 25, 2029, giving the issuer substantial flexibility to terminate the securities. The filing requires that Citigroup provide not less than three business days' notice prior to exercising a call option.

Upon redemption, investors receive $1,000 in cash plus any applicable contingent coupon payment for that period. The filing does not specify circumstances under which Citigroup would be incentivized to call the securities, though call features are typically exercised when market conditions favor the issuer. Investors should note that being called does not guarantee they receive coupon payments up to that point—if the worst-performing underlying has already breached the barrier, no contingent coupon would be paid regardless of the call date. This call feature introduces uncertainty regarding the expected holding period and total return investors should anticipate.

Valuation and Estimated Security Value

The filing discloses that on the pricing date of July 23, 2026, Citigroup Global Markets Inc. estimated the value of each security at $951.40 per security, representing a discount of $48.60 from the $1,000 issue price. The disclosure notes explicitly that this estimated valuation is based on CGMI's proprietary pricing models and the company's internal funding rate. The filing emphasizes 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."

The filing indicates that investors purchasing at the $1,000 issue price are immediately positioned at an estimated $48.60 loss based on internal valuation models. The disclosure suggests that the contingent coupon feature, the call option retained by the issuer, and the downside risk associated with the worst-performing underlying contribute to the discount between issue price and estimated value. The filing warns investors that secondary market liquidity is not guaranteed and that the securities are not listed on any securities exchange, potentially making it difficult or impossible to sell the securities prior to maturity.

Underwriting Compensation and Distribution Arrangements

Citigroup Global Markets Inc. receives an underwriting fee of $28.00 per security, totaling $43,092.00 across the entire offering. Net proceeds to the issuer are $972.00 per security, or $1,495,908.00 in aggregate, assuming the maximum per-security underwriting fee. The filing notes that the underwriting fee is variable, suggesting that actual compensation may differ from the stated amount under certain circumstances. Additionally, CGMI will pay electronic platform providers a fee of up to $1.50 for each security sold where selected dealers and custodians utilize such platforms.

The filing discloses that in addition to underwriting fees, CGMI and its affiliates may profit from hedging activity related to the offering "even if the value of the securities declines." This language suggests that Citigroup has the ability to enter into offsetting transactions or derivatives positions to manage its exposure, creating potential conflicts of interest whereby the underwriter and issuer may profit regardless of whether investors realize gains or losses. The filing references a "Supplemental Plan of Distribution" in the accompanying prospectus for further details on how the securities will be distributed.

Credit Risk and Security Guarantees

All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., positioning the parent company as the ultimate obligor. The filing emphasizes that all payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., meaning that if either entity were to default on its obligations, investors would lose their expected payments. The guarantee from Citigroup Inc. provides recourse to a larger, more established entity, but it does not insulate investors from Citigroup's own financial deterioration or default.

The unsecured nature of these securities means they rank pari passu with other unsecured debt obligations and are subordinated to secured debt and priority claims in any insolvency proceeding. The filing warns that "Investors in the securities 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." This language highlights that credit risk is a significant consideration for investors, particularly in a scenario where Citigroup's financial condition deteriorates or market stress makes it difficult for the company to meet payment obligations.

Adverse Exposure to Multiple Underlyings and Lack of Dividend Participation

The filing explicitly states that "you will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in any one of the underlyings." This phrasing underscores the distributed risk profile: poor performance in any single underlying—the Nasdaq-100, Russell 2000, or Regional Banking ETF—could eliminate contingent coupon payments or reduce principal at maturity. The use of the "worst performer" mechanism amplifies downside risk, as investors are exposed to the weakest link among three different market segments rather than a diversified basket where some outperformance might offset weakness.

Critically, the filing discloses that although investors have downside exposure to the worst-performing underlying, "you will not receive dividends with respect to any underlying or participate in any appreciation of any underlying." This asymmetric payoff structure means investors capture losses if the underlyings decline but do not benefit from dividends paid by index constituents or share in any appreciation beyond the 60% barrier level for contingent coupon purposes. Investors essentially have one-sided risk exposure: full downside participation paired with capped upside that benefits only when the worst performer stays above the barrier.

Summary Risk Factors and Liquidity Considerations

The filing references detailed "Summary Risk Factors" beginning on page PS-6 of the pricing supplement, acknowledging that "Investing in the securities involves risks not associated with an investment in conventional debt securities." The filing makes explicit that these are complex, non-standard instruments where conventional debt analysis does not fully capture the risks involved. The potential for zero principal repayment, the forfeiture of all contingent coupons if barriers are breached, and the one-sided exposure to market downside position these securities as substantially riskier than conventional Citigroup debt of similar maturity.

The filing highlights that the securities will not be listed on any securities exchange, creating a significant liquidity constraint. Investors who wish to exit their position before maturity would need to find willing buyers in the over-the-counter market, and the filing makes clear that secondary market pricing is not guaranteed and may be substantially less favorable than primary market terms. The estimated value of $951.40 versus the $1,000 issue price suggests that secondary market discounts could be material. Investors should recognize that they are committing capital for approximately three years with limited ability to exit if market conditions or their financial circumstances change.