Citigroup Issues Three-Year Contingent Coupon Securities Linked to Worst-Performing Index

Security Structure and Coupon Mechanics

The disclosure reveals that the contingent coupon securities pay a coupon equal to 0.8875 percent of the stated principal amount on each contingent coupon payment date, equivalent to an annualized rate of 10.65 percent. This coupon payment is conditional on the closing value of the worst-performing underlying remaining greater than or equal to its coupon barrier value on the preceding valuation date. The coupon barrier value for each underlying is set at 70 percent of its initial underlying value as of the pricing date: the Russell 2000 Index at 2,091.177, the S&P 500 Index at 5,256.440, and the State Street Industrial Select Sector SPDR ETF at $125.062.

The filing explains that if the closing value of the worst-performing underlying on any valuation date falls below its coupon barrier value, investors will not receive a contingent coupon payment on the following payment date. Valuation dates are scheduled monthly from August 21, 2026, through the final valuation date on July 23, 2029, subject to postponement if the date is not a scheduled trading day or if certain market disruption events occur. The contingent coupon payment date for each valuation date is the third business day after that valuation date, except that the payment date following the final valuation date coincides with the maturity date of July 26, 2029.

Downside Risk and Final Maturity Payoff

At maturity, if the final underlying value of the worst-performing underlying is greater than or equal to its final barrier value (also set at 70 percent of the initial underlying value), investors will receive the full stated principal amount of $1,000 per security plus any applicable final contingent coupon payment. However, if the final underlying value of the worst-performing underlying closes below its final barrier value on the final valuation date, the payment at maturity is calculated as $1,000 plus the underlying return of the worst-performing underlying multiplied by $1,000, which the disclosure states may result in investors receiving significantly less than the stated principal amount or potentially nothing at all.

The filing emphasizes that investors bear downside exposure to each of the three underlyings based on the worst-performing underlying, meaning adverse movements in any single underlying negatively affect the securities' performance. Despite this exposure, the disclosure explicitly states that investors will not receive dividends with respect to any underlying and will not participate in any appreciation of any underlying. This asymmetric risk structure—downside participation without upside participation—represents a material consideration for potential investors evaluating the securities.

Callable Feature and Early Redemption Dates

Citigroup Global Markets Holdings retains the right to call the securities for mandatory redemption on any potential redemption date beginning April 21, 2027, and continuing through June 21, 2029. The issuer must provide not less than three business days' notice before exercising the call right. Upon redemption, investors will receive for each security held an amount in cash equal to $1,000 plus any related contingent coupon payment due on that redemption date. This callable feature permits the issuer to retire the securities early, effectively capping investors' upside potential in certain market scenarios while maintaining their downside exposure.

The disclosure notes that the call right applies to contingent coupon payment dates related to 29 valuation dates scheduled between April 2027 and June 2029. This extended window for optional redemption provides the issuer with flexibility to manage the securities in response to market conditions, credit considerations, or changes in hedging costs. Investors should recognize that early redemption would terminate their exposure to future contingent coupon payments and further market performance of the underlyings.

Underlying Indices and Initial Values

The securities are linked to three distinct underlyings, each with different risk and performance characteristics. The Russell 2000 Index, representing small-capitalization U.S. equities, had an initial underlying value of 2,987.395 as of the July 21, 2026 pricing date. The S&P 500 Index, representing large-capitalization U.S. equities, had an initial underlying value of 7,509.20 on the same date. The State Street Industrial Select Sector SPDR ETF, a sector-specific equity fund focused on industrials, had an initial underlying value of $178.66 on the pricing date.

The coupon barrier values and final barrier values for all three underlyings are fixed at 70 percent of their respective initial underlying values, established on the pricing date. This static barrier structure means that the thresholds for contingent coupon payments and final maturity calculations do not change throughout the three-year life of the securities, regardless of subsequent market movements or index performance. Investors benefit if underlyings remain above these predetermined levels but bear the full extent of losses if underlyings decline significantly below the pricing date levels.

Pricing, Fees, and Valuation Disclosure

The disclosure indicates that the securities were issued at a price of $1,000 per security, with total offering proceeds of $3.155 million. Citigroup Global Markets Inc., acting as principal underwriter, received an underwriting fee of $7.00 per security, generating total underwriting fees of $22,085 on the offering. Net proceeds to the issuer were $993.00 per security, or $3.132 million in aggregate. Additionally, CGMI will pay electronic platform providers up to $1.50 for each security sold where selected dealers or custodians utilize such distribution platforms.

The filing discloses that on the date of the pricing supplement, the estimated value of the securities was $981.40 per security, approximately $18.60 below the $1,000 issue price. The disclosure explicitly states that this estimated value is based on CGMI's proprietary pricing models and internal funding rate and is not an indication of actual profit to CGMI or its affiliates, nor is it an indication of any price at which CGMI or other parties may be willing to purchase the securities from investors after issuance. This valuation methodology highlights the structured nature of these securities and the potential immediate loss in fair value upon issuance.

Credit Risk and Guarantee Structure

All payments on the securities are subject to the credit risk of both Citigroup Global Markets Holdings Inc., the issuer, and Citigroup Inc., the guarantor. The filing states that all payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., meaning that Citigroup's parent company stands behind the issuer's obligations. However, the disclosure also emphasizes that investors are exposed to the credit risk of both entities and may not receive payments if either the issuer or guarantor defaults on their obligations.

The securities are unsecured debt obligations, not backed by any collateral or specific assets. The disclosure clearly 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 a bank. This credit structure exposes investors to the financial stability and creditworthiness of Citigroup Inc. and its subsidiary throughout the three-year term.

Liquidity Constraints and Market Restrictions

The filing discloses that the securities will not be listed on any securities exchange, meaning they will trade only in over-the-counter markets with potentially limited liquidity. The disclosure explicitly warns investors that they must be willing to accept an investment that may have limited or no liquidity, indicating that investors may face significant difficulty selling these securities prior to maturity. Liquidity constraints are particularly important for structured products, as secondary market trading depends on dealer willingness to quote prices and execute trades.

The combined effect of non-listing status and the structured nature of the securities suggests that investors should anticipate limited exit opportunities before the July 26, 2029 maturity date. This illiquidity characteristic reinforces the importance of investors understanding their full commitment to the three-year term and the risks associated with the worst-performing underlying throughout the period.

Risk Factors Specific to Structured Product Investors

The disclosure emphasizes that investing in these securities involves risks not associated with conventional debt securities. The primary risk is that investors' actual yield may be lower than the yield available on conventional debt securities of the same maturity because contingent coupon payments may not be received in any or all periods. Additionally, the value received at maturity may be substantially less than the stated principal amount, depending solely on the performance of the worst-performing underlying. The asymmetric risk structure—whereby investors receive downside exposure without upside participation—means that negative movements in any single underlying immediately affect security performance while positive movements in two of the three underlyings provide no benefit.

The disclosure also notes that investors will be negatively affected by adverse movements in any one of the three underlyings, even if the other two underlyings perform positively. This worst-performing mechanism creates a scenario in which investors bear concentrated risk to the single weakest index across three distinct asset classes and market segments. The combination of contingent coupon payments, downside participation at maturity, and no dividend or appreciation participation creates a complex risk-return profile that differs materially from conventional fixed-income securities.

Issuer and Registration Details

The securities are issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., and are guaranteed by Citigroup Inc. The offering was filed pursuant to Rule 424(b)(2) under registration statements numbered 333-293732 and 333-293732-02. The pricing supplement is identified as Pricing Supplement No. 2026-USNCH33173 and is dated July 21, 2026, with the securities issued on July 24, 2026, three business days after pricing. The medium-term senior notes, designated as Series N in Citigroup's structured product program, represent unsecured obligations of the subsidiary backed by the parent company's guarantee.

The offering documents reference accompanying product supplement, underlying supplement, prospectus supplement, and base prospectus documents dated February 25, 2026, which provide comprehensive disclosure of the securities' terms, risk factors, and regulatory framework. These materials establish the legal framework for the securities and provide detailed information on the securities' characteristics, the underlyings, and the issuer's financial condition and obligations under the guarantee arrangement.