Citigroup Launches $10.219 Million Autocallable Equity-Linked Securities Backed by Space Exploration Technologies Stock

Structure of Securities and Underlying Asset Linkage

The securities represent unsecured debt obligations of Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., with all payments fully and unconditionally guaranteed by Citigroup Inc. Each security has a stated principal amount of $1,000 and an initial underlying value of $118.24, based on Space Exploration Technologies Corp. stock’s closing price on the pricing date. Investors are exposed to the performance of this single underlying equity, introducing considerable concentration risk.

Priced on July 23, 2026, with an issue date of July 28, 2026, the securities mature on January 27, 2028, unless automatically redeemed earlier. The total offering size is $10.219 million in stated principal. The issue price is $1,000 per security, with Citigroup Global Markets Inc. acting as underwriter and receiving a $15 underwriting fee per security, resulting in proceeds of $985 per security to the issuer. The estimated value on the pricing date was $968.20 per security, notably below the issue price.

Contingent Coupon Payment Terms

On each contingent coupon payment date, a coupon of 6.9875% of the stated principal amount is paid only if the closing price of Space Exploration Technologies stock on the preceding valuation date is at or above the coupon barrier of $65.032, which is 55% of the initial underlying value. Coupon payment dates follow valuation dates by three business days, with valuation dates on October 23, 2026; January 25, 2027; April 23, 2027; July 23, 2027; October 25, 2027; and January 24, 2028 (final valuation date). The annualized coupon rate is 27.95%, exceeding typical yields on comparable maturity debt securities.

Investors face significant coupon risk. If the underlying stock closes below the coupon barrier on any valuation date, no coupon is paid on the subsequent payment date. However, if the stock later recovers above the barrier, all previously unpaid coupons plus the current coupon are paid. If the stock remains below the barrier through the final valuation date, all unpaid coupons are forfeited, meaning investors may receive no coupons if the underlying never recovers.

Automatic Early Redemption and Return Constraints

The securities include an automatic early redemption feature that can limit investor returns. If on any of the five potential autocall dates—October 23, 2026; January 25, 2027; April 23, 2027; July 23, 2027; or October 25, 2027—the closing price of Space Exploration Technologies stock is at or above the initial underlying value of $118.24, the securities will be automatically redeemed. Investors receive $1,000 plus the related contingent coupon payment on the next coupon payment date.

This early redemption feature imposes an opportunity cost. The filing notes that "if the underlying performs favorably, the securities are likely to be automatically called before maturity, limiting your chance to receive further coupons." Consequently, investors cannot benefit from stock appreciation beyond the initial value after an early call. The earliest possible call is about three months after issuance, restricting upside potential.

Maturity Payments and Downside Exposure

If not redeemed early, maturity payments depend on whether the final underlying value on January 24, 2028, is at or above the final barrier of $65.032 (55% of initial value). If so, investors receive the $1,000 principal. If below, investors receive a fixed number of Space Exploration Technologies shares equal to an equity ratio of 8.45737 per $1,000 principal, or cash equal to their value at the issuer’s discretion.

This exposes investors to substantial losses. The filing warns investors "may receive shares or cash worth significantly less than principal, possibly nothing, at maturity." Since the coupon barrier is 55% of the initial value, investors bear full downside risk if stock declines more than 45%. Additionally, any unpaid coupons are forfeited if the final value is below the barrier. The equity ratio means that if the stock price approaches zero, the securities could be essentially worthless.

Risk Factors and Credit Considerations

The filing highlights multiple risks distinguishing these securities from traditional debt. Investors risk receiving lower yields due to missed coupons, potentially losing principal if the underlying declines, and having returns capped by early redemption. They do not receive dividends or benefit from stock appreciation beyond the initial underlying value before maturity.

Payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If either defaults, investors may not receive payments. The securities will not be exchange-listed, resulting in limited or no liquidity. This combination of equity risk, coupon contingency, early call risk, and credit exposure makes these securities suitable only for sophisticated investors accepting significant downside risk.

Valuation and Pricing Details

On July 23, 2026, the securities’ estimated value was $968.20 per security, based on Citigroup Global Markets Inc.’s proprietary models, a $31.80 discount from the $1,000 issue price. The filing clarifies this estimate does not represent actual profit or future buyback prices. The underwriting fee was $15 per security, with proceeds to the issuer of $985. Citigroup and its affiliates may profit from hedging activities related to the offering even if the securities’ value declines, indicating a potential conflict of interest.

Market Disruptions and Valuation Date Adjustments

Valuation dates may be postponed if they fall on non-trading days or if market disruptions occur. The product supplement outlines how closing values are determined and adjustments made in such events. These mechanisms imply that final payouts could be affected by altered or stressed market conditions.

Investors are advised to review the full product supplement, prospectus supplement, and prospectus dated February 25, 2026, to understand all terms, including valuation procedures and potential adjustments.

Comparison to Conventional Debt and Investor Suitability

These securities offer higher potential yields than conventional debt of similar maturity, but with substantially increased risks. The 27.95% annualized contingent coupon contrasts sharply with typical corporate debt yields, but investors may receive no coupons if the underlying declines below barriers. If held to maturity without early redemption and the stock falls over 45%, principal is replaced by equity shares potentially worth nothing.

The filing emphasizes these are not bank deposits, are not FDIC-insured, and lack bank guarantees. The securities’ lack of exchange listing means limited liquidity, requiring investors to accept potential difficulty in exiting positions before maturity.

Regulatory Filings and Registration Details

The pricing supplement was filed under Rule 424(b)(2) referencing Registration Statements 333-293732 and 333-293732-02. The SEC disclaimer states neither the SEC nor any state securities commission has approved or disapproved the securities or determined the completeness of the offering documents. Investors should read the pricing supplement alongside the product supplement, prospectus supplement, and prospectus dated February 25, 2026, accessible via provided hyperlinks.

The offering is identified by CUSIP/ISIN 17333XDG1 / US17333XDG16, totaling approximately 10,219 securities at $1,000 each. While distribution details are limited, Citigroup Global Markets Inc. is the underwriter, with further marketing information available in the "Supplemental Plan of Distribution" section of the filing.