Citigroup Launches $1.4 Million Buffered EURO STOXX 50 Index-Linked Notes Offering 11.72% Conditional Return with 15% Downside Protection

Terms and Payment Structure of the Structured Notes

Citigroup Global Markets Holdings Inc. issued these notes as non-traditional debt securities designed to provide conditional principal protection alongside limited upside exposure tied to European equity market performance. Unlike standard bonds, these notes do not pay periodic interest nor guarantee principal repayment at maturity. Instead, the maturity cash settlement depends entirely on the EURO STOXX 50 Index’s performance from July 21, 2026, to November 17, 2027, benchmarked against an initial index level of 6,285.63.

If the final index level remains at or above 85% of the initial level (a 15% downside threshold), investors receive $1,117.20 per $1,000 principal, reflecting an 11.72% contingent fixed return. Should the index drop beyond the 15% buffer, losses accelerate at approximately 1.1765% for every 1% decline exceeding the threshold. The notes’ payment formula caps recovery at principal minus amplified losses beyond the buffer, with potential for total loss if the index falls sufficiently.

Upside Caps and Investor Considerations

These notes explicitly cap upside participation in the EURO STOXX 50 Index. Investors forgo any returns exceeding the 11.72% contingent fixed return, regardless of how much the index rallies during the term. This means even substantial index gains result only in the fixed threshold settlement amount of $1,117.20 per $1,000 principal. Additionally, investors do not receive dividends from the underlying index stocks or interest on the notes.

This upside limitation is a trade-off for the conditional principal protection afforded by the 15% downside buffer. Investors accepting limited upside exposure gain the potential for a fixed 11.72% return if the index remains above the buffer. The notes’ structure differs significantly from conventional debt securities, which typically lack both capped upside and leveraged downside risk, underscoring the complexity and risk profile requiring thorough investor evaluation.

Credit Risk and Guarantee Details

Issued as unsecured senior debt by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., all payments depend on the issuer’s financial ability to meet obligations. If either the issuer or parent company defaults, noteholders may receive no payments regardless of index performance or settlement conditions. This credit risk is independent of the index-linked returns and represents a key counterparty risk.

Citigroup Inc. fully and unconditionally guarantees all payments due on the notes, transferring credit risk to one of the largest U.S. financial institutions. However, this guarantee does not eliminate credit risk and the notes remain senior unsecured obligations without FDIC insurance or governmental protection. Investors must assess the creditworthiness and systemic risk exposure of both entities.

Valuation, Pricing, and Liquidity Factors

On the pricing date of July 21, 2026, Citigroup Global Markets Inc. estimated the notes’ value at $987.00 per $1,000 note using proprietary models, representing a $13 discount to the issue price. This valuation difference highlights the gap between the sale price and internal model value, with no guarantee that the notes can be resold at or above issue price.

The notes are not exchange-listed and may have limited or no secondary market liquidity. Investors seeking to exit before November 19, 2027, could face difficulty finding buyers and may have to sell at significant discounts. Citigroup Global Markets Inc. may engage in market-making but provides no assurances on bid-ask spreads or execution.

Underwriting and Pricing Structure

Citigroup Global Markets Inc., an affiliate of the issuer, serves as underwriter and principal distributor. The offering raised $1.401 million at $1,000 principal per note with no underwriting discount deducted, resulting in net proceeds equal to the full issue amount. Unlike typical underwritten deals charging 1%-5% fees, Citigroup’s profit largely derives from the valuation spread between issue price and estimated value.

The issuer and affiliates may profit from hedging activities related to the offering, even if note values decline. The issuer may sell additional notes later at different prices or underwriting terms, so initial offering terms may not reflect future offerings. Investor returns depend partly on purchase price, distinguishing those buying at par from those acquiring notes at premiums or discounts.

Index Measurement and Valuation Dates

The EURO STOXX 50 Index (ticker: SX5E), maintained by STOXX Limited, is the sole underlying index. The initial level was fixed at 6,285.63 on July 21, 2026. Returns are measured by the percentage change from this initial level to the final level on November 17, 2027. The notes do not protect against interim index fluctuations, focusing solely on cumulative performance over the 16-month term.

The pricing supplement references potential market disruption events and index modifications that could affect settlement calculations but defers full details to accompanying product supplements. Investors should review all related documents to understand contingencies impacting final payments or valuation timing.

Risks of Premium and Discount Purchases

Purchasing notes above or below the $1,000 principal affects returns and downside protection. Premium buyers receive fixed maturity payments unadjusted for premium paid, reducing effective returns. For example, a $1,050 purchase yielding $1,117.20 equates to a 6.4% return versus 11.72% at par. The 15% downside buffer also offers less protection for premium buyers, as losses may occur even with index declines less than 15%. Conversely, discount buyers gain enhanced downside protection but reduced percentage gains at the threshold.

Corporate and Guarantee Structure

Citigroup Global Markets Holdings Inc. is a wholly owned subsidiary of Citigroup Inc., a major global financial institution. The subsidiary structure isolates liabilities, but the parent’s full guarantee backs the notes. Investors must assess both entities’ capitalization, credit strength, regulatory capital, and systemic risk exposure.

The guarantee ranks senior to common equity but subordinate to government-insured deposits and certain regulatory claims. In severe stress scenarios, noteholders share unsecured creditor status and may face partial recovery in bankruptcy or resolution. The notes lack FDIC or government insurance, emphasizing meaningful credit risk despite the parental guarantee.

Market and Index Outlook During Note Term

The EURO STOXX 50 Index reflects the 50 largest, most liquid eurozone stocks, serving as a broad large-cap European equity benchmark. Note performance will be influenced by eurozone economic conditions, ECB monetary policy, euro-dollar currency fluctuations, corporate earnings, and investor sentiment over the 16-month period. The pricing supplement offers no forecasts, requiring investors to independently evaluate macroeconomic and market factors.

The fixed initial index level of 6,285.63 anchors return calculations. Historical performance offers limited predictive insight, and market shocks, geopolitical events, or risk appetite shifts could cause significant index moves above or below this level. The 15% downside buffer accommodates typical volatility but could be exceeded during acute market stress, exposing investors to total loss despite structured protection.

Regulatory Disclosures and Investor Protections

The pricing supplement includes standard regulatory language noting that the U.S. Securities and Exchange Commission and state securities regulators have neither approved nor disapproved the notes, nor verified the truthfulness or completeness of offering documents. This reflects the SEC’s registration review process which does not assess investment suitability or merits. Any contrary representation is a criminal offense.

The notes are issued under a Medium-Term Senior Notes program registered with the SEC. The pricing supplement references multiple supplementary documents dated February 25, 2026, including product and underlying supplements and prospectuses containing material information not reproduced here. Investors must review all related documents to fully understand structural features, contingencies, and index-specific provisions, as these documents collectively define the rights and risks of the notes.