Citigroup Issues Equity-Linked Notes Tied to Constellation Energy Corporation With October 2026 Maturity

Security Structure and Payment Terms

The disclosed pricing supplement details securities issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with full and unconditional guarantee of all payments by Citigroup Inc. Each security has a stated principal amount of $1,000 and is structured as an unsecured debt obligation. The securities are designed to provide periodic coupon payments that exceed yields available on conventional debt securities of comparable maturity, creating a risk-reward profile that requires investors to accept potential principal loss in exchange for enhanced income.

Coupon payments are scheduled for the 22nd day of each calendar month beginning in August 2026 through maturity. The coupon equals at least 1.4667% of the stated principal amount per payment date, representing an annualized rate of approximately 17.60% or approximately 4.40% for the full term of the securities. Payment dates falling on non-business days will be shifted to the next business day with no interest accrual on delayed payments. This high coupon structure reflects the embedded downside risk inherent in the equity-linked design.

Constellation Energy Underlying Asset and Valuation Framework

The securities are linked to Constellation Energy Corporation, with the initial underlying value established at $251.77, the closing price on the strike date of July 16, 2026. The final underlying value will be determined by the closing price of Constellation Energy shares on the valuation date of October 19, 2026, subject to postponement if that date is not a scheduled trading day or if certain market disruption events occur. The filing does not disclose the specific market disruption events that would trigger postponement, referring instead to the accompanying product supplement for additional details.

The equity ratio of 3.97188 represents the number of Constellation Energy shares that investors will receive at maturity if the final underlying value falls below the final barrier value. This ratio is calculated by dividing the $1,000 stated principal amount by the initial underlying value of $251.77. The final barrier value is set at $188.828, which represents 75% of the initial underlying value. If Constellation Energy stock closes below this barrier level on the valuation date, investors will receive equity shares instead of full principal repayment at maturity.

Downside Risk and Principal At-Risk Disclosure

The filing explicitly states that if the final underlying value is less than the final barrier value of $188.828, investors will receive a fixed number of underlying shares equal to the equity ratio, or at Citigroup's sole discretion, the cash equivalent of those shares based on the final underlying value. Under this scenario, the value of what investors receive will be significantly less than the stated principal amount and may be zero, excluding the final coupon payment. This structure means that a decline in Constellation Energy stock of more than 25% from the strike price would trigger principal loss, with losses accelerating proportionally if the stock falls further.

The disclosure emphasizes that investors must be willing to accept the possibility of receiving substantially diminished returns at maturity. The filing notes that investors have downside exposure to the underlying asset but will not receive dividends paid on Constellation Energy shares and will not participate in any appreciation of the stock above the initial underlying value. This asymmetric payoff structure—where investors bear full downside risk but cap their upside at full principal repayment—is a defining characteristic of equity-linked notes of this type.

Estimated Valuation and Pricing Details

Citigroup Global Markets Holdings Inc. disclosed in the pricing supplement that the estimated value of the securities on the pricing date of July 17, 2026 is expected to be at least $937.50 per security, which is $62.50 below the $1,000 issue price. The company explicitly stated that this estimated value is based on Citigroup's proprietary pricing models and internal funding rate, and represents neither an indication of actual profit to Citigroup Global Markets Inc. (the underwriter) nor other Citigroup affiliates, nor an indication of any price at which the underwriter or other parties may be willing to purchase the securities from investors after issuance.

The issue price is $1,000.00 per security, with an underwriting fee of $5.00 per security payable to Citigroup Global Markets Inc. acting as principal underwriter. Net proceeds to the issuer are therefore $995.00 per security, assuming the maximum underwriting fee. The disclosure notes that the underwriting fee is variable and that the proceeds table reflects the actual total underwriting fee amount. The filing does not disclose the total dollar amount of securities issued, stating instead that this information would be completed in the final pricing supplement.

Liquidity and Credit Risk Considerations

The filing clearly communicates that the securities will not be listed on any securities exchange, meaning investors should expect limited or no liquidity for these instruments. The disclosure states that investors must be willing to accept an investment with potentially limited or no secondary market liquidity and the risk that they may not receive any payments due under the securities if both Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations. All payments on the securities are explicitly subject to the credit risk of both the issuer and its parent company.

This credit risk disclosure is particularly significant given the short maturity of the securities—from the issue date of July 22, 2026 to the maturity date of October 22, 2026, representing a term of approximately three months. During this brief period, investors are exposed to the default risk of Citigroup entities, in addition to the market risk of Constellation Energy Corporation stock. The guarantee provided by Citigroup Inc. extends to all payments due on the securities, but investors should recognize that this guarantee is only as strong as the creditworthiness of Citigroup Inc. itself.

Hedging Activity and Affiliate Profits

The filing discloses that Citigroup Global Markets Inc. and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines. This disclosure indicates that the underwriter and affiliated entities plan to establish hedges to offset their exposure to the equity-linked securities they issue, and that these hedging transactions may generate profits independent of movements in Constellation Energy stock or the performance of the securities themselves. The disclosure does not specify the nature or extent of anticipated hedging profits.

This profit-from-hedging disclosure is material to investors because it creates a situation where the financial interests of the issuer and underwriter may diverge from those of security holders. If Constellation Energy stock declines sharply, the securities will lose value for investors, but the issuer's hedging positions may become highly profitable. The filing does not disclose how the issuer will use these hedging profits or whether any portion will be shared with investors.

Delisting Provisions and Issuer Redemption Rights

The pricing supplement discloses that if the underlying shares of Constellation Energy Corporation are delisted as described in the accompanying product supplement, Citigroup will have the right, but not the obligation, to call the securities for redemption. The filing does not define in the pricing supplement itself which specific delisting events trigger this right, referring investors instead to the product supplement for complete terms. If the issuer exercises this call right, each security will be redeemed for an amount equal to the amount investors would be entitled to receive at maturity, excluding the final coupon payment, calculated as if the last valid trading day were the valuation date.

In addition to the redemption amount calculated under that formula, investors would receive accrued and unpaid coupon to but excluding the redemption date, plus the present value of remaining coupon payments discounted based on a comparable yield calculation determined by the calculation agent. The disclosure notes that the comparable yield is based on what Citigroup would pay on a non-interest-bearing, senior unsecured debt obligation of comparable size and maturity. The filing does not provide examples of how this calculation would be applied under various scenarios, nor does it disclose what yield rate would be used in this calculation.

Regulatory Status and Disclosure Documents

The pricing supplement is filed as a preliminary document pursuant to SEC Rule 424(b)(2), indicating that the terms, pricing, and other final details remain subject to completion. The document is dated July 17, 2026, and indicates that it is not an offer to sell the securities in any state where the offer or sale is not permitted. The pricing supplement relates to Registration Statement Nos. 333-293732 and 333-293732-02, which have been filed with the Securities and Exchange Commission.

The filing directs investors to read the pricing supplement together with the accompanying product supplement (Product Supplement No. EA-02-12 dated February 25, 2026), prospectus supplement, and prospectus, all dated February 25, 2026. The SEC is reminded in the document that it has not approved or disapproved of the securities or determined that the pricing supplement and accompanying documents are truthful or complete. The filing explicitly states that the securities are not bank deposits, are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of any bank.

Series Designation and Technical Specifications

These securities are designated as Medium-Term Senior Notes, Series N, issued under Pricing Supplement No. 2026-USNCH33174. The CUSIP number is 17333XDJ5 and the ISIN is US17333XDJ54. Citibank, N.A. is designated as the paying agent responsible for processing coupon payments and principal or equity payments at maturity. The brief maturity period from July 22, 2026 to October 22, 2026 represents a standard short-term structure for these types of equity-linked securities, which typically range from a few months to a few years in length.

The filing does not disclose the specific number of securities issued or the aggregate principal amount outstanding. The document notes that these totals are to be provided in the final pricing supplement once the offering is completed and fully subscribed. The relatively short maturity combined with high coupon payments is characteristic of structured products designed to provide investors with enhanced income in exchange for accepting equity market exposure and principal loss risk over a concentrated time period.