Citigroup Launches $1.47 Billion Trigger Autocallable GEARS Tied to Oil & Gas Sector ETF

Details of the Trigger Autocallable GEARS Structure

Citigroup Global Markets Holdings Inc. issued unsecured, unsubordinated debt obligations guaranteed by Citigroup Inc. The total offering amounts to $1.472 billion, priced at $10.00 per security with a minimum purchase of 100 securities. Citigroup Global Markets Inc. (CGMI), acting as principal, acquired the securities from the issuer at $9.75 each and sold them to UBS Financial Services Inc. at the same price, which then distributed them to investors. The underwriting discount of $0.25 per security reduced net proceeds to approximately $1.435 billion.

The securities’ performance is linked to the State Street SPDR S&P Oil & Gas Exploration & Production ETF (ticker: XOP), with an initial underlying price set at $174.05 on the trade date. The offering has not been approved by the SEC or any state securities regulator and is not insured by the FDIC or any government agency. These securities will not be listed on any exchange, potentially limiting liquidity.

Autocall Feature and Call Return Explained

A key feature of these GEARS is the automatic call provision, allowing Citigroup to redeem the securities early if certain conditions are met. Specifically, if the XOP ETF closes at or above the autocall barrier on the interim valuation date of August 2, 2027, Citigroup will redeem the securities on August 4, 2027, paying investors the principal plus a 21.50% call return. This call return annualizes to approximately 7.17% over the one-year interim period, providing a fixed upside if triggered.

The pricing supplement does not explicitly disclose the autocall barrier level but specifies the initial underlying price and downside threshold. This feature benefits Citigroup by enabling early redemption upon favorable market performance while offering investors a defined return if called early, though it caps further upside participation. The call settlement occurs four business days after the interim valuation date.

Upside Gearing and Positive Return Potential at Maturity

If the securities are not called at the interim date, the maturity return depends on the XOP ETF’s performance from the initial price to the final price on July 24, 2029. For positive returns, investors receive the principal plus an additional return equal to the underlying return multiplied by an upside gearing factor of 1.47, amplifying gains.

For example, a 10% increase in the XOP ETF price would yield a 14.7% return on the securities (excluding any call return), plus principal repayment at maturity. This leveraged exposure appeals to investors seeking magnified gains in the oil and gas exploration and production sector without directly purchasing the ETF. However, dividends or distributions from the underlying ETF are not paid to investors during the holding period.

Downside Protection and Principal Repayment Conditions

The downside threshold is set at $130.54 per share, representing 75% of the initial price. If the final underlying price at maturity is at or above this threshold but the return is zero or negative, investors receive full principal repayment with no additional return. This conditional protection applies only if the securities are held to maturity and the price remains above the threshold.

If the final underlying price falls below $130.54, investors bear full downside risk and may receive less than the principal amount, resulting in losses proportional to the decline in the XOP ETF. The disclosure warns investors they could lose their entire initial investment if the underlying declines significantly. This asymmetric risk profile—leveraged upside but full downside exposure below the threshold—is central to the risk-return tradeoff of these securities.

Credit Risk and Guarantor Responsibilities

All payments on the securities are fully and unconditionally guaranteed by Citigroup Inc., the parent company of the issuer. Nonetheless, payment obligations depend on the creditworthiness of both the issuer and guarantor. A default by either could result in investors losing some or all of their investment. This credit risk is in addition to the market risk from the XOP ETF’s performance.

The pricing supplement cautions investors about the combined market and credit risks inherent in these securities and advises thorough credit analysis, as no current credit ratings or recent creditworthiness changes are disclosed.

Valuation and Secondary Market Liquidity

At the time of the pricing supplement, the estimated value of the securities was $9.545 per security, below the $10.00 issue price, reflecting embedded costs and risks. This valuation is based on proprietary models and internal funding rates and does not indicate potential profit or secondary market prices.

The securities are not exchange-listed and may have limited or no liquidity, making early exit difficult and potentially resulting in significant losses if sold before maturity. Investors should be prepared to hold to maturity or rely on the underlying ETF’s performance and Citigroup’s credit strength.

Important Dates and Valuation Timeline

The trade date is July 24, 2026, with settlement on July 28, 2026. The interim valuation date is August 2, 2027, determining if the autocall feature triggers early redemption on August 4, 2027, with principal plus 21.50% call return paid. If not called, the final valuation date is July 24, 2029, with maturity on July 26, 2029, allowing a two-business-day settlement window.

The valuation relies on closing prices on specific dates without averaging or smoothing, and no adjustments for market holidays or trading halts are disclosed, which may affect valuations during volatile periods.

Risk Factors and Investor Advisories

The pricing supplement stresses that these securities are significantly riskier than traditional debt and that the issuer is not obligated to repay principal at maturity. Investors face full downside market risk of the underlying ETF plus credit risk from Citigroup entities. The filing advises against purchase by those who do not understand or accept these risks.

Detailed risk factors are provided in the pricing and product supplements, highlighting that adverse events or uncertainties could reduce value or result in partial or total loss of initial investment. The complexity and sector concentration increase risk compared to diversified equity investments.

Exposure to Oil & Gas Sector via XOP ETF

The underlying asset is the State Street SPDR S&P Oil & Gas Exploration & Production ETF (ticker: XOP), offering concentrated exposure to companies in oil and gas exploration and production. This sector is subject to commodity price swings, regulatory shifts, geopolitical risks, and energy transition challenges, which may not impact other sectors similarly.

The initial underlying price was $174.05 on July 24, 2026. Investors effectively bet on XOP appreciation over three years, with upside gains amplified by 1.47 times but full downside exposure below 75% of the initial price. The filing does not disclose ETF composition or correlation with broader indices, underscoring the idiosyncratic risks of sector-focused investments.