Citigroup Global Markets Holdings Launches Autocallable Equity-Linked Securities Linked to S&P 500 Futures Index

Autocallable Securities Structure and Terms

Citigroup Global Markets Holdings issued unsecured debt securities fully guaranteed by Citigroup Inc. These medium-term senior notes, Series N, mature on July 22, 2031, with each security having a stated principal amount of $1,000. The pricing supplement reveals an estimated issuance value of $884.60 per security based on Citigroup Global Markets Inc.'s proprietary pricing models and internal funding rates, reflecting a discount due to embedded contingent coupon and autocall risks.

The underlying S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER tracks S&P 500 futures contracts on a volatility-targeted, trend-adjusted basis, applying a 6% annual decrement and notional costs that act as significant performance drags. The initial underlying value at pricing was 9,565.53. This exposes investors to leveraged movements in S&P 500 futures without dividend participation or appreciation capture.

Contingent Coupon Payment Mechanics and Valuation

These securities feature a contingent coupon paid monthly over 60 valuation dates from August 17, 2026, through July 17, 2031. Investors receive 1.00% of the stated principal per valuation date if the underlying index closes at or above the coupon barrier of 6,695.871, representing 70% of the initial underlying value. The annualized contingent coupon rate totals 12.00% if all payments are made. Coupons are paid three business days after each valuation date, with the final payment on maturity.

If the underlying closes below the coupon barrier on any valuation date, the coupon for that month is forfeited. However, if the index later recovers to or above the barrier, all previously unpaid coupons accumulate and are paid together without interest. A critical risk exists: if the underlying remains below the barrier through the final valuation date on July 17, 2031, all accumulated unpaid coupons are permanently lost.

Autocall Redemption and Final Payment Details

The securities include an autocall feature allowing early redemption starting from the first possible autocall date, though exact thresholds and trigger dates are unspecified. Upon autocall, investors receive the $1,000 principal amount, enabling early exit which may limit upside but cap losses.

If not called early, final payment depends on the underlying's closing value on July 17, 2031. A final buffer value of 8,130.701 (85% of initial value) applies with a 15% buffer. If the underlying is at or above this buffer, investors receive full principal. Below this, losses occur dollar-for-dollar beyond the buffer. For example, a 20% decline results in a $950 payment per security, reflecting a 2% principal loss.

Issuance and Underwriting Details

The pricing supplement lists July 17, 2026, as pricing and July 22, 2026, as issue dates. Total proceeds after underwriting fees amounted to $297,005.00. Citigroup Global Markets Inc., an affiliate, served as underwriter, earning $45.00 per security totaling $13,995.00. Additionally, electronic platform providers may receive up to $2.00 per security sold via dealers or custodians using such platforms.

The estimated $884.60 value per security is based on internal models and does not guarantee buyback prices or secondary market liquidity. The securities are not exchange-listed, posing significant liquidity challenges for investors seeking early exit. The underwriter and affiliates may profit from hedging activities regardless of security performance.

Risk Profile and Index Characteristics

These securities carry multiple risk layers. The underlying S&P 500 Futures Excess Return Index is expected to underperform the spot S&P 500 Index due to futures financing costs. The 6% annual decrement and notional costs create structural return headwinds. The volatility-targeted, trend-adjusted index exposes investors to leveraged downside risk without dividend or price appreciation participation.

Investors face dollar-for-dollar principal loss beyond a 15% buffer at maturity. Credit risk applies to both Citigroup Global Markets Holdings Inc. and guarantor Citigroup Inc. The securities may have limited or no liquidity, and investors assume default risk of both entities.

Contingent Coupon Accumulation and Restoration

Coupon payments are forfeited if the underlying is below the barrier on a valuation date but accumulate if the index later recovers above the barrier, paying all missed coupons without interest. However, if the underlying stays below the barrier through the final valuation date, all unpaid coupons are permanently lost. There is no limit on how many valuation dates may fall below the barrier, potentially resulting in sparse or no coupon payments despite the 12% annualized rate.

Index Performance Drags and Structural Headwinds

The index incorporates a fixed 6% annual decrement and notional costs that significantly reduce returns. Futures-based construction adds implicit financing costs due to contract rolls. These factors cause the S&P 500 Futures Excess Return Index to likely underperform the spot S&P 500 Index, creating a substantial hurdle for coupon payments and principal preservation.

Valuation Dates and Observation Schedule

There are 60 monthly valuation dates from August 17, 2026, to July 17, 2031, with payments three business days later except for the final payment on maturity. Valuation dates may be postponed due to non-trading days or market disruptions, though definitions and handling of such events are unspecified. The final valuation date determines terminal payoff, announced three business days before maturity.

Guarantee and Credit Risk Considerations

Citigroup Inc. fully and unconditionally guarantees payments, providing enhanced credit quality compared to a standalone subsidiary issuance. Nonetheless, credit risk remains tied to both Citigroup Global Markets Holdings Inc. and Citigroup Inc. Severe financial distress in either could result in investor losses. Credit spread and default probabilities are not quantified. The five-year term extends exposure to credit risk.

Secondary Market Liquidity and Exit Limitations

These securities will not be listed on any exchange, creating significant illiquidity for investors seeking to exit before maturity. The estimated $884.60 valuation is internal and does not indicate actual buyback or secondary market availability. Investors are effectively locked in until maturity unless called early.

While Citigroup Global Markets Inc. and others may purchase securities post-issuance, no obligation or liquidity guarantee exists. Investors needing capital before maturity risk inability to sell, amplifying structural risks from contingent coupon and downside participation features.