Citigroup Issues $1.4 Million Autocallable Securities Tied to S&P 500 Equal Weight Index

Offering Structure and Pricing

Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued 1,400 medium-term senior notes as part of Series N, each with a stated principal of $1,000. The total principal raised was $1.4 million before costs. The securities were priced at $1,000 each on July 23, 2026, and issued on July 28, 2026. The estimated value at pricing was $964.60 per security, calculated using Citigroup Global Markets Inc.'s proprietary models and internal funding rates.

Citigroup Global Markets Inc. acted as principal underwriter, earning $30,800 in underwriting fees ($22 per security). Selected non-affiliated dealers received a $20 selling concession plus up to a $2 structuring fee per security. Net proceeds to the issuer after fees totaled $1,369,200, or $978 per security. The pricing supplement notes that Citigroup Global Markets Inc. and affiliates may also profit from hedging activities related to this offering, independent of security value changes.

Underlying Index and Valuation Dates

The securities are linked to the S&P 500 Equal Weight Index, with an initial underlying value of 8,585.81, based on the index’s closing value on July 23, 2026. This initial value serves as the baseline for all performance calculations. The final underlying value will be determined by the index closing on July 23, 2031, the maturity date, unless early redemption occurs.

Valuation dates may be postponed if they fall on non-trading days or if market disruptions occur. The first valuation date is July 30, 2027, followed by the final valuation on July 23, 2031. Investors will not receive dividends on the underlying index during the investment period, which is a significant consideration for equity-linked securities.

Automatic Early Redemption and Premium Details

If on the valuation date prior to maturity the index closing value equals or exceeds the initial value, the securities will be automatically redeemed on the third business day after that date. For example, if this occurs on July 30, 2027, investors will receive $1,000 plus a 9.70% premium, totaling $1,097 per security. The premium is fixed and may be substantially less than the actual index appreciation between pricing and the valuation date.

Early redemption ends the securities’ term, preventing investors from benefiting from any further index gains. This creates an asymmetry: investors gain the fixed premium upon early redemption but forgo the potential 150% upside participation at maturity if the index continues to rise. The pricing supplement stresses that the premium does not increase with greater index appreciation.

Principal Repayment Contingent on Index Performance at Maturity

If the securities are not redeemed early, repayment at maturity depends on the final index value relative to the initial and the final barrier of 6,868.648 (80% of the initial value). If the final value exceeds the initial, investors receive $1,000 plus a return calculated as $1,000 times the underlying return times 150% participation.

If the final value is between the initial and barrier values, investors receive the full $1,000 principal. However, if the final value falls below the barrier, repayment is $1,000 plus $1,000 times the underlying return (100% participation), potentially resulting in losses below principal. The supplement warns that if the index declines below the barrier, investors could lose a significant portion or all of their principal.

Downside Risk and Loss Exposure

These securities carry substantial downside risk unlike traditional debt. For each 1% drop below the initial and barrier values, investors lose 1% of principal. A decline of more than 20% in the S&P 500 Equal Weight Index by maturity could result in total principal loss. Despite being unsecured debt of Citigroup Global Markets Holdings Inc., investors bear full exposure to index declines.

Investors also do not receive dividends from the underlying index, foregoing income that direct index holders would receive. This dividend exclusion combined with potential principal loss differentiates these securities from conventional equity or fixed-income investments and requires careful risk assessment.

Credit Risk and Guarantee Information

Payments depend on the creditworthiness of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., which fully and unconditionally guarantees the securities. These are unsecured obligations without collateral backing. In default scenarios, investors rank as unsecured creditors competing with others in bankruptcy or restructuring.

The securities are not bank deposits and lack FDIC or government insurance. Their credit quality is tied solely to Citigroup Inc. and its subsidiary issuer. Citigroup Global Markets Inc., an affiliate of the issuer, may have conflicts of interest in hedging and distribution activities.

Valuation and Secondary Market Liquidity

The estimated value at issuance was $964.60 per security, about 3.54% below the $1,000 issue price, indicating an immediate valuation discount for investors. This estimate is not a profit indication for Citigroup nor a guarantee of secondary market prices.

The securities will not be listed on any exchange, limiting liquidity. Investors should be prepared for difficulty selling before maturity at favorable prices or at all. The CUSIP is 17334C7L2 and ISIN US17334C7L25. The pricing supplement notes that investors must accept limited liquidity and credit risk from issuer and guarantor defaults to gain the modified index exposure these securities provide.

Risk Factors and Product Documentation

Investment risks include lack of periodic interest, no guaranteed principal repayment, and full dependence on the volatile S&P 500 Equal Weight Index performance. Investors also face counterparty credit risk from Citigroup entities.

The pricing supplement should be read alongside the product supplement, underlying supplement, prospectus supplement, and prospectus for complete terms. These documents detail index valuation methods, market disruption adjustments, and index specifics. Thorough review is essential before investing.

Distribution and Dealer Compensation

Citigroup Global Markets Inc. served as principal underwriter. Selected non-affiliated dealers received $20 selling concessions and up to $2 structuring fees per security from the underwriting fee. Citigroup Global Markets Inc. may also pay fees to electronic platform providers for sales facilitated through related dealers and custodians.

The underwriting fees and proceeds structure incentivizes dealer participation while maintaining profitability for the affiliate underwriter. From the $22 underwriting fee per security, $20 was paid as selling concessions and up to $2 as structuring fees to dealers, with the remainder retained by Citigroup Global Markets Inc. This compensation arrangement reflects standard market practices but represents a material cost deducted from investor principal at issuance.