Citigroup Global Markets Holdings Prices Three-Index Linked Notes With Contingent Coupons Maturing in 2029

Equity-Linked Notes Structure and Contingent Coupon Features

These notes, issued by Citigroup Global Markets Holdings as unsecured debt fully guaranteed by Citigroup Inc., blend traditional fixed-income features with contingent equity participation. Instead of fixed coupons, payments depend on the performance of the worst-performing index among the Dow Jones Industrial Average, Nasdaq-100, and Russell 2000.

Contingent coupon payments equal 0.8958% of the principal per payment period, approximating 10.75% annually if paid in full. Payments occur only if the worst-performing index's closing value on the preceding valuation date is at least 70% of its initial pricing date value. Should any index close below this coupon barrier, no coupon is paid for that period, causing a significant difference between the stated annual rate and actual yield.

Downside Protection and Capital Loss at Maturity

The notes include a "final buffer value" of 85% of each underlying's initial value, offering limited protection against moderate declines in the worst-performing index. At maturity on August 2, 2029, if the worst-performing index closes at or above 85% of its initial value, investors receive full principal ($1,000 per security). If it falls below this threshold, investors incur dollar-for-dollar principal losses beyond the 15% buffer. For example, a 35% decline in the worst-performing index results in a $800 payment per security, reflecting a 20% capital loss.

Valuation Timeline and Coupon Payment Schedule

Monthly valuation dates start August 28, 2026, continuing through the final valuation on July 30, 2029, totaling 38 dates. These dates may be postponed if they fall on non-trading days or due to market disruptions. This extended observation period subjects investors to continuous equity market exposure without reset opportunities.

Contingent coupon payments are made on the third business day after each valuation date, except the final coupon payment, which coincides with maturity. Coupons are paid only if the worst-performing index meets the 70% barrier on each valuation date, meaning payments may cease if market conditions deteriorate.

Issuer Call Rights and Reinvestment Risk

Citigroup Global Markets Holdings holds the right to call the notes for mandatory redemption on specified dates starting October 28, 2026, with at least three business days' notice. Upon call, investors receive $1,000 plus any applicable contingent coupon. This issuer call feature introduces reinvestment risk, especially if interest rates decline, as investors may be forced to reinvest at lower yields. Multiple potential call dates through 2026 and 2027 mean investors cannot guarantee holding the notes to maturity.

Credit Risk and Guarantee Details

Payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc., which unconditionally guarantees all payments. Investors face credit risk from both entities; default by either would nullify payment obligations. As a wholly owned subsidiary, the issuer benefits from Citigroup Inc.'s guarantee, but any deterioration in the parent company's credit profile could affect secondary market value and payment reliability. These notes are not bank deposits, lack FDIC insurance, and are subordinated to deposit liabilities.

Index Exposure and Worst-Performer Determination

The notes track the Dow Jones Industrial Average, Nasdaq-100, and Russell 2000 indices, with payments tied to the worst-performing index among them. This asymmetric risk structure means gains in two indices do not offset losses in the worst-performing one. Investors do not receive dividends or participate in appreciation, limiting returns to contingent coupons while accepting full downside risk on the worst performer.

Pricing, Valuation, and Cost of Capital Considerations

Issued at $1,000 each, with an $8.00 underwriting fee per security paid to Citigroup Global Markets Inc., net proceeds to the issuer are $992.00 per note. Citigroup Global Markets Holdings estimates the fair value at pricing to be at least $935.00 per security, substantially below the issue price. This valuation, based on proprietary models and funding rates, is not indicative of profit or secondary market prices, highlighting limited liquidity and potential immediate economic loss for investors selling soon after issuance.

Distribution Fees and Trading Platforms

Besides the underwriting fee, electronic platform providers receive up to $1.50 per security sold through their systems, further reducing issuer proceeds. The notes will not be exchange-listed and will trade over-the-counter via dealers, if at all. This limited liquidity and reliance on dealer networks suggest suitability primarily for institutional and sophisticated retail investors comfortable with illiquid structured products.

Hedging and Potential Affiliate Profits

Citigroup Global Markets Inc. and affiliates may engage in hedging activities related to the offering, potentially profiting even if the securities decline in value. These hedges likely involve underlying indices or derivatives and may create conflicts of interest, as affiliate profits from hedging may not align with investor returns. The filing does not quantify these potential profits.

Risk Concentration and Liquidity Challenges

Investors bear simultaneous market risk from all three indices but only benefit from the best-performing index while suffering losses from the worst. This asymmetric exposure amplifies downside risk during broad market downturns when indices tend to decline together. The notes may have limited or no liquidity, with secondary market pricing dependent on dealer willingness to quote prices, which may be unfavorable or unavailable during market stress. Investors should expect to hold the notes for the full three-year term unless willing to accept significant discounts to exit early.