Citigroup Introduces Buffered Autocallable Notes Linked to S&P 500 Futures Index Featuring Early Redemption Options

Structure and Redemption Features of the Buffered Autocallables

Issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc., these securities offer two redemption pathways based on the underlying index’s performance. If the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index closes at or above the initial value of 9,565.53 on any valuation date before maturity, the securities will be automatically redeemed on the third business day after that valuation date. Investors receive $1,000 per security plus the applicable premium for that date.

Early redemption premiums start at 20% of principal on July 20, 2027, and increase incrementally through April 17, 2028, reaching 35%. The filing notes that these premiums may be significantly lower than the underlying index’s appreciation from pricing to the valuation date, meaning investors might not capture full gains if the index rises substantially. Once redeemed early, securities cease to exist and investors forfeit premiums on subsequent dates.

Downside Buffer and Loss Exposure at Maturity

The securities include a 15% downside buffer, with a final buffer value of 8,130.701 (85% of the initial value). If the underlying closes above this buffer but below the initial value at maturity, investors receive the $1,000 principal without additional premium, protecting against losses within the buffer range.

However, if the underlying falls below the buffer, investors lose 1% of principal for every 1% decline beyond 15%. For example, a 20% drop results in a $50 loss per security beyond the principal. The filing stresses investors must accept downside risk exceeding the buffer percentage.

Underlying Index and Performance Dynamics

The securities track the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index, which employs volatility targeting and trend adjustment on S&P 500 Futures contracts. This index includes a 6% annual decrement and notional costs, resulting in leveraged exposure that may amplify losses relative to the S&P 500 Futures Excess Return Index. The filing highlights that the Excess Return Index typically underperforms the S&P 500® Index due to implicit financing costs.

The pricing supplement warns that the 6% annual decrement and notional costs significantly drag on performance, and investors should carefully review related risk factors. The 40% intraday edge volatility component introduces leveraged movements that may diverge from traditional equity index returns.

Dividend Forfeiture and Limited Upside Participation

Investors must forgo all dividends related to the underlying S&P 500 Futures index, a notable departure from standard equity investments where dividends contribute to total returns. This reduces total return potential for holders who retain the securities through maturity without early redemption.

Moreover, investors do not benefit from underlying appreciation beyond fixed premiums on specified valuation dates. Once the underlying closes at or above the initial value on a valuation date, the premium for that date is fixed, and investors do not capture further gains if the index rises afterward. This creates an asymmetric return profile with capped upside and downside risk extending beyond the buffer.

Pricing, Fees, and Estimated Valuation

Issued at $1,000 per security on July 22, 2026, the offering included a $45 underwriting fee per security paid to Citigroup Global Markets Inc., the underwriter and issuer affiliate. Total proceeds after deducting $119,070 in fees amounted to $2,526,930. The filing also reveals potential fees up to $2 per security paid to electronic platform providers when related dealers and custodians use such platforms.

On pricing date, the securities’ estimated value was $876 per security, below the $1,000 issue price. This valuation is based on Citigroup’s proprietary models and internal funding rates and does not reflect actual profit or secondary market price. Citigroup and affiliates may profit from hedging activities even if the securities’ value declines.

Liquidity Limitations and Secondary Market Risks

These securities will not be listed on any exchange, imposing significant liquidity constraints for investors wishing to sell before maturity or early redemption. The pricing supplement explicitly warns that investors must accept limited or no liquidity, effectively locking capital until redemption or maturity.

The absence of a secondary market restricts investors’ ability to manage risk or adjust positions based on changing circumstances. Valuations post-issuance depend on market conditions and affiliate willingness to provide pricing, neither guaranteed.

Credit Risk and Issuer Guarantees

Payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and its parent, Citigroup Inc., which provides a full unconditional guarantee. These unsecured debt obligations carry credit risk; investors may not receive payments if either entity defaults.

The filing clarifies these securities are not bank deposits, are not FDIC-insured, and are not obligations of any bank or government agency. The parent company guarantee adds protection but does not eliminate credit risk inherent in unsecured debt.

Investment Profile and Suitability

Featuring automatic early redemption with escalating premiums, a 15% downside buffer, leveraged index exposure, dividend forfeiture, and limited liquidity, these securities offer a complex risk-return profile suitable for sophisticated investors with specific objectives. They do not pay interest or guarantee principal repayment, requiring acceptance of volatility tied solely to underlying index performance.

Investors should assess whether the premium schedule compensates adequately for dividend loss, downside risk beyond the buffer, and illiquidity. The underlying index’s 6% annual decrement and leveraged volatility targeting create performance dynamics distinct from direct S&P 500 investments, with potential for amplified losses.

Valuation Approach and Ongoing Monitoring

The initial underlying value of 9,565.53 serves as the benchmark for performance measurement, with valuation dates starting July 20, 2027. The filing provides a full schedule of automatic early redemption dates through April 17, 2028, detailing premium amounts and redemption opportunities, culminating with maturity on July 22, 2031.

Investors should track index performance relative to the initial value on each valuation date to gauge early redemption likelihood. Premiums increase from 20% to 35% over time, reflecting either a decreasing probability of early redemption or higher compensation for extended holding. Daily volatility and market conditions will influence whether the index closes at or above the initial value on valuation dates.