Citigroup Issues Callable Equity-Linked Notes With Contingent Coupon Payments Due 2029

Structure of the Callable Equity-Linked Securities

The securities issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., represent unsecured debt guaranteed by Citigroup Inc. The offering consists of Medium-Term Senior Notes, Series N, designated as Pricing Supplement No. 2026-USNCH33249 and filed pursuant to Rule 424(b)(2) under registration statement numbers 333-293732 and 333-293732-02. Each security has a stated principal amount of $1,000 and was priced on July 22, 2026, with an issue date of July 27, 2026.

The securities link investor returns to three underlying assets: the Dow Jones Industrial Average, the S&P 500 Index, and the State Street Financial Select Sector SPDR ETF. The performance mechanism is based on the worst-performing of these three underlyings, meaning that adverse movement in any single underlying negatively affects the entire security. This structure fundamentally differs from conventional debt securities in that returns depend entirely on market conditions rather than fixed interest rates. Investors assume direct market risk while simultaneously forfeiting dividend participation and price appreciation rights associated with the underlying assets.

Contingent Coupon Payment Structure and Conditions

The securities offer contingent coupon payments at an annualized rate of approximately at least 12.25%, translating to at least 1.0208% of stated principal amount per payment date. Coupon payments occur on the third business day following each of 38 scheduled valuation dates, with the final payment coinciding with the maturity date. Valuation dates span from August 24, 2026, through July 23, 2029, providing frequent opportunities for coupon assessment throughout the three-year period.

Payment of contingent coupons is conditional on performance of the worst-performing underlying. Each underlying has a coupon barrier value set at 75% of its initial underlying value, which itself is the closing value on the pricing date. If the worst-performing underlying closes at or above its coupon barrier on any valuation date, investors receive the contingent coupon payment on the corresponding payment date. However, if the closing value falls below the coupon barrier on any valuation date, no contingent coupon payment occurs on the following payment date. This means investors face the prospect of receiving zero coupon payments if market conditions deteriorate, particularly if the weakest-performing index drops more than 25% from its initial level.

Maturity Payment and Principal Risk Exposure

At maturity on July 26, 2029, assuming the securities have not been redeemed earlier, the payment structure divides into two distinct outcomes based on final underlying performance. 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—also set at 75% of initial underlying value—investors receive the full stated principal amount of $1,000 per security.

The scenario presents substantially greater risk if the worst-performing underlying closes below its final barrier value at maturity. In that case, investors receive $1,000 plus the underlying return of the worst-performing underlying multiplied by $1,000. This formula means that if the worst-performing underlying has declined 30% from its initial value, investors would receive $700 per security. If the worst-performing underlying has declined more than 100%, investors would receive nothing. The filing states that investors "will receive significantly less than the stated principal amount of your securities, and may be zero" if the worst-performing underlying closes below its final barrier value, and notably, no final contingent coupon payment is made in this scenario.

Issuer Credit Risk and Guarantee Structure

All payments on the securities depend entirely on the credit quality of two entities: Citigroup Global Markets Holdings Inc., the direct issuer, and Citigroup Inc., which provides an unconditional and full guarantee of all payments. This dual-layer guarantee structure provides some assurance that payments will be made if market conditions permit, but it simultaneously concentrates credit risk on a single financial institution. The filing explicitly warns that "investors in the securities must be willing to accept the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations."

The unsecured nature of these debt securities means investors have no collateral backing and would rank as general unsecured creditors in any insolvency proceeding. Additionally, the filing clarifies that these securities are not bank deposits, are not insured or guaranteed by the Federal Deposit Insurance Corporation, and are not obligations of any bank, despite being issued by a subsidiary of a major financial institution. This structure contrasts sharply with deposit insurance protections that apply to traditional bank savings products.

Redemption Rights and Call Provisions

Citigroup retains the right to call the securities for mandatory redemption on any of multiple potential redemption dates, with redemption dates scheduled for contingent coupon payment dates corresponding to valuation dates beginning October 22, 2026, and continuing through June 22, 2029. The company must provide not less than three business days' notice before exercising this call right. Upon redemption, investors receive $1,000 per security plus any related contingent coupon payment due on that date.

This call feature creates asymmetric risk for investors. If market conditions improve and the securities appreciate in value, Citigroup can call them away, limiting upside potential. Conversely, if market conditions deteriorate, the issuer likely will not exercise the call right, and investors will bear the full downside loss. The inclusion of multiple potential redemption dates beginning less than one year from issuance means investors face early redemption risk throughout the security's life, particularly if market performance remains strong and the issuer determines redemption is economically advantageous.

Pricing, Valuation, and Underwriting Terms

The issue price is $1,000 per security, with Citigroup Global Markets Inc. (CGMI) receiving an underwriting fee of $1.50 per security, resulting in net proceeds to the issuer of $998.50 per security. This pricing structure implies a total underwriting fee that CGMI and its affiliates will receive, in addition to potential profits from hedging activities related to the offering.

Citigroup Global Markets Holdings Inc. disclosed that the estimated value of the securities on the pricing date would be at least $942.50 per security, which is substantially less than the $1,000 issue price. This valuation gap of $57.50 per security reflects the embedded option value transferred to Citigroup through the callable structure and the conditional nature of coupon payments. The filing explicitly states that estimated value "is based on CGMI's proprietary pricing models and our internal funding rate" and notes 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." Additionally, CGMI will pay to electronic platform providers a fee of up to $1.50 for each security sold through their systems.

Liquidity Constraints and Secondary Market Risk

The announcement discloses that the securities will not be listed on any securities exchange, creating significant liquidity limitations for investors. Unlike publicly traded securities that benefit from established secondary markets with bid-ask spreads and trading volume, holders of these notes must rely on Citigroup's willingness to repurchase them, if at all. The filing cautions that investors must accept "an investment that may have limited or no liquidity," acknowledging that finding a buyer outside of redemption at maturity or call dates may be difficult or impossible.

The lack of listing means there is no transparent market price discovery mechanism for these securities between valuation dates. Investors seeking early liquidity would need to negotiate directly with CGMI or other market participants, likely at significant discounts to indicated values. This liquidity risk compounds the complexity of the investment, as the inability to exit at desired prices could trap investors in positions if circumstances change or if they require access to capital before maturity.

Summary Risk Factors and Investment Considerations

The filing presents substantial risk warnings to prospective investors. The core risk is that actual yields may be significantly lower than yields on conventional Citigroup debt of the same maturity because contingent coupon payments may not be made if any underlying breaches its coupon barrier. The securities provide downside exposure to the worst-performing of three major market indices while explicitly providing no dividend participation or price appreciation rights in any underlying. Investors gain nothing from upside movement in these assets but bear full downside loss potential.

The higher potential yield—approximately at least 12.25% annualized—represents compensation for accepting these structured risks. However, this higher yield is contingent and not guaranteed. If market conditions are volatile or decline, investors may receive no coupon payments at all, effectively holding an unsecured Citigroup debt security with no coupon income and potential principal loss. The filing characterizes these risks as significantly different from conventional debt securities and emphasizes that investors must affirmatively accept both the income uncertainty and the principal-at-risk structure.

Comparative Valuation and Embedded Costs

The disclosed estimated value of $942.50 per security on the pricing date, compared to the $1,000 issue price, quantifies the economic cost embedded in the security structure. This $57.50 per-security valuation discount reflects several cost components: the underwriting fee of $1.50 per security, the platform provider fees of up to $1.50 per security, the value of the issuer's call option, the cost of the credit guarantee provided by Citigroup Inc., and the reduced participation rights compared to direct ownership of the underlying indices.

The valuation estimate represents Citigroup's own internal assessment and carries limited applicability to secondary market trading. The filing explicitly warns that this valuation is neither an indication of actual profit to Citigroup nor a guide to prices at which the securities might trade in any secondary market. For investors considering purchase, this means the true economic cost of the structured product may include components beyond the stated fees and may vary depending on Citigroup's internal assumptions about future volatility, dividend payments on underlying indices, and credit spreads.