Citigroup Launches $12 Million Auto-Callable Notes Linked to Nasdaq-100 ETF with July 2027 Maturity

Auto-Callable Securities Structure and Pricing Details

Citigroup Global Markets Holdings Inc., a Citigroup Inc. subsidiary, issued 12,000 contingent income auto-callable securities totaling $12 million principal, with $1,000 principal per note. Priced on July 20, 2026, and issued July 23, 2026, these securities mature on July 23, 2027, offering a one-year investment horizon. Citigroup Global Markets Inc. (CGMI), acting as principal underwriter, earned $1.00 per $1,000 security underwriting fee, totaling $12,000, resulting in net proceeds of $11,988,000. Selected dealers, including Morgan Stanley Wealth Management, received $0.50 per security selling concessions from CGMI.

The pricing supplement noted an estimated issuance value of $997.10 per security, a discount to the $1,000 issue price, based on CGMI’s proprietary models and internal funding rate. This estimate does not indicate actual profit or a commitment to repurchase securities post-issuance. Morgan Stanley Wealth Management also received a $0.50 per security structuring fee from CGMI. The notes are unsecured debt obligations of Citigroup Global Markets Holdings Inc., fully and unconditionally guaranteed by Citigroup Inc.

Monthly Coupon Payment and Contingent Income Features

These securities provide monthly contingent coupon payments throughout the one-year term. On each monthly coupon payment date, unless previously auto-redeemed, investors receive 1.4667% of principal if the Invesco QQQ Trust shares close at or above the downside threshold price of $625.797 (90% of the initial strike price of $695.33). No coupon is paid if the closing price falls below this threshold on any valuation date. If shares subsequently trade at or above the threshold after a missed payment, the coupon for that date includes all unpaid prior coupons without interest.

If all monthly coupons are paid, the annualized coupon rate is approximately 17.60%, significantly higher than conventional debt of similar maturity and credit quality. However, actual yield may be lower if coupons are missed due to underlying fund performance. Monthly valuation dates run from August 20, 2026, through July 20, 2027, with coupon payments following three to five business days later.

Automatic Early Redemption Conditions

Beginning about one month after issuance, the notes may be automatically redeemed early. On each redemption date, if the Invesco QQQ Trust closing price equals or exceeds the initial price of $695.33, notes are redeemed at par plus the related coupon payment, including any unpaid coupons. This caps investor upside, as gains beyond the initial price are not captured.

Redemption dates coincide with valuation dates from August 20, 2026, through June 21, 2027. Upon redemption, no further payments are made, and principal plus earned coupons are returned. Valuation dates may be postponed due to non-trading days or market disruptions, though specifics on such events are not detailed.

Principal-at-Risk Structure at Maturity

If not redeemed early, maturity payment on July 23, 2027, depends on the final share price measured July 20, 2027. If the final price is at or above $625.797 (90% of initial), investors receive full principal plus any coupons, including unpaid amounts. If below, a principal-at-risk formula applies: payment equals $1,000 plus $1,000 multiplied by 10% buffer rate times (share return plus 10% buffer).

This means investors may receive less than principal if the fund declines significantly. For example, a 20% decline results in a payment well below principal, forfeiting all coupons. No coupons are paid at maturity if the final price is below the threshold, combining principal loss with lost income. The 10% buffer offers limited protection only within a narrow decline range.

Underlying Index and Valuation Methodology

The notes are linked to the Invesco QQQ Trust, Series 1 (ticker QQQ UQ), an ETF tracking the Nasdaq-100 Index of the 100 largest non-financial Nasdaq stocks. The initial share price of $695.33 was set on July 17, 2026, serving as the reference for redemption and downside thresholds. The final share price on July 20, 2027, determines principal risk at maturity.

CGMI’s estimated issuance value of $997.10 per note, below par, was based on proprietary models and internal funding rates. This estimate is not a guarantee of profit or repurchase commitment. Detailed valuation assumptions are in the accompanying product supplement.

Liquidity and Market Risks

The notes will not be exchange-listed, resulting in significant liquidity constraints. Investors should expect limited or no secondary market availability before maturity or early redemption. Purchases are only available via CGMI as principal underwriter. This illiquidity poses risks for investors needing early access to capital.

All payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc., which fully guarantees the notes. However, any deterioration in Citigroup Inc.’s financial condition could impact payments. The notes are not bank deposits, not FDIC insured, and not guaranteed by any bank despite issuance through a Citigroup subsidiary.

Investor Limitations and No Equity Upside Participation

Investors bear full downside risk through the principal-at-risk structure but have capped upside, as gains above the initial $695.33 share price trigger automatic redemption at par plus coupons. No dividends from the underlying shares are paid to investors, limiting economic benefits compared to direct ETF ownership.

The yield may be negative if coupons are missed due to share prices below the threshold on valuation dates. Significant declines in the QQQ Trust could lead to minimal or no coupon payments and principal loss at maturity. Investors must accept risks of illiquidity and potential non-payment if issuer or guarantor defaults, compounding investment risks.

Regulatory Filings and Disclosure Documents

The pricing supplement was filed under Rule 424(b)(2) referencing registration statements 333-293732 and 333-293732-02. Neither the SEC nor any state securities commission has approved or disapproved the notes or confirmed the completeness of the pricing supplement, product supplement, underlying supplement, prospectus supplement, or prospectus.

Investors should review the product supplement EA-04-12, underlying supplement 13, and prospectus documents dated February 25, 2026, incorporated by reference for full offering details, risks, and underlying index information. A risk summary begins on page PS-9 of the pricing supplement.

Fee and Underwriting Details

CGMI earned $12,000 underwriting fees ($1.00 per $1,000 security) from the $12 million offering. Selected dealers, including Morgan Stanley Wealth Management, received $0.50 per security selling concessions, and Morgan Stanley Wealth Management also received a $0.50 per security structuring fee from CGMI, accounting for the difference between issue price and net proceeds.

CGMI and affiliates may profit from hedging activities related to the offering regardless of security performance, indicating potential conflicts of interest. Details of hedging profits were not disclosed.

Market Context and Invesco QQQ Trust Overview

Priced July 20, 2026, and issued July 23, 2026, with a strike price of $695.33 set July 17, 2026, the notes link to the Invesco QQQ Trust, one of the largest U.S. ETFs tracking the Nasdaq-100 Index. This index focuses on large-cap technology, consumer discretionary, and biotech stocks. The structured product offers enhanced income potential with principal risk, reflecting investor demand for growth exposure through structured notes.

The 10% downside buffer allows some protection against declines but may be limited given Nasdaq-100 volatility. Investors accept the risk of principal loss in significant market downturns, partially offset by contingent coupons when the ETF remains above threshold levels.