Citigroup Global Markets Holdings Inc. filed a 424B2 pricing supplement on July 31, 2026, for Callable Contingent Coupon Equity Linked Securities linked to the worst performing of the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index, with a maturity date of July 6, 2029.

Key Highlights

  • Total offering size: $2,156,000.00, with proceeds to the issuer of $2,145,025.96 after an underwriting fee of $10,974.04.
  • Contingent coupon rate: 11.55% per annum (0.9625% per stated principal amount per valuation period), paid only if the worst performing underlying closes at or above its coupon barrier value on the relevant valuation date.
  • Coupon barrier values: 75.00% of each underlying's initial value - Nasdaq-100 at 21,205.650, Russell 2000 at 2,198.504, and S&P 500 at 5,617.290.
  • Final barrier values: 65.00% of each underlying's initial value - Nasdaq-100 at 18,378.230, Russell 2000 at 1,905.370, and S&P 500 at 4,868.318.
  • Estimated value at pricing: $979.50 per security, which the filing states is less than the $1,000.00 issue price.
  • Call feature: The issuer may redeem the securities in whole, but not in part, on any of 29 specified potential redemption dates beginning with the payment date related to the February 1, 2027 valuation date.
  • Principal risk: If the worst performing underlying closes below its final barrier value on the final valuation date, investors receive $1,000 plus ($1,000 multiplied by the underlying return of the worst performing underlying), which the filing states could be "significantly less" than the stated principal amount and "possibly nothing."

Structure and Risk Profile of Citigroup's 2029 Worst-of Linked Securities

According to the filing, the securities are unsecured debt obligations of Citigroup Global Markets Holdings Inc. (NYSE: C), a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. The stated principal amount is $1,000 per security. The pricing date is July 31, 2026, and the issue date is August 5, 2026. Citigroup Global Markets Inc. (CGMI), an affiliate of the issuer, acted as underwriter on a principal basis, receiving an underwriting fee of up to $10.00 per security. The filing also discloses that CGMI will pay up to $2.00 per security to electronic platform providers where applicable.

The contingent coupon of 0.9625% per period is payable only when the closing value of the worst performing underlying on a given valuation date is greater than or equal to its coupon barrier value. The filing lists 35 valuation dates running from August 31, 2026 through the final valuation date of July 2, 2029. If the worst performing underlying falls below the coupon barrier on any valuation date, no coupon is paid for that period. At maturity, if the worst performing underlying's final value is at or above its final barrier value (65.00% of initial value), investors receive $1,000 per security. If it is below, investors receive $1,000 plus $1,000 multiplied by the underlying return of the worst performing underlying, which the filing describes as potentially "significantly less" than principal.

The filing states that the estimated value of the securities on the pricing date is $979.50 per security, based on CGMI's proprietary pricing models and its internal funding rate, and that this figure "is not an indication of actual profit to CGMI" nor "of the price, if any, at which CGMI or any other person may be willing to buy the securities." The securities will not be listed on any securities exchange, and the filing cautions that the investment "may have limited or no liquidity." All payments are subject to the credit risk of both the issuer and Citigroup Inc. The securities are not bank deposits and are not insured by the FDIC or any governmental agency.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed the pricing terms for $2,156,000 in callable, worst-of equity-linked notes due July 6, 2029, carrying an 11.55% per annum contingent coupon rate and barrier protections set at 75% and 65% of initial underlying values, with an estimated value of $979.50 per security at pricing.