Citigroup Launches $2.4 Million Buffered Equity Index Basket-Linked Notes Maturing in 2028

Structured Product Features and Payment Details

These notes operate as structured debt securities where payment outcomes depend exclusively on basket performance, rather than fixed coupons or principal repayment. The initial basket level was set at 100.00 on July 21, 2026, with the final basket level determined on August 2, 2028, by summing weighted index performance ratios. At maturity, if the final basket level exceeds the initial level, investors receive the $1,000 principal plus returns calculated at a 180% upside participation rate multiplied by the basket return, capped at $1,342.54 per $1,000 note, limiting total returns to 34.254%.

The notes feature an asymmetric risk-return profile typical of buffered products. If the basket return is zero or negative but declines no more than 17.50%, investors receive the full $1,000 principal with no loss. However, declines beyond the 17.50% buffer result in losses calculated by multiplying approximately 1.2121 by the excess decline percentage times $1,000, potentially leading to total principal loss if the basket falls substantially below the initial level. Investors forgo dividend income, interest payments, and any returns above the 34.254% cap in exchange for downside protection within the buffer.

Geographic Diversification and Index Weighting

The offering provides exposure to five major developed market equity indices across Europe, Asia, and the Pacific. The EURO STOXX 50 Index holds the largest weighting at 40%, emphasizing large-cap eurozone companies. The TOPIX Index representing Japanese equities accounts for 25%, while the FTSE 100 Index (UK large-cap stocks) comprises 17%. The Swiss Market Index and S&P/ASX 200 Index (Australian equities) make up the remaining 18% with 11% and 7% weightings, respectively.

This weighting structure means the EURO STOXX 50, TOPIX, and FTSE 100 indices have a significantly greater impact on note returns than the Swiss Market Index and S&P/ASX 200 Index. The geographic and index diversification exposes investors to varying macroeconomic conditions, currency fluctuations, and equity market cycles across multiple developed economies. Performance offsets among indices are a key consideration, as losses in higher-weighted indices may be partially balanced by gains in lower-weighted indices, and vice versa.

Pricing and Issuance Details

The notes were issued at $1,000 each, generating gross proceeds of $2,411,000 with no underwriting discount, as per the pricing supplement. Citigroup Global Markets Inc., an affiliate of the issuer, acted as principal underwriter without charging a separate fee. The estimated intrinsic value was $998.50 per note on the pricing date, indicating issuance at a premium relative to Citigroup's internal valuation models and funding assumptions.

The pricing supplement clarifies that this estimated value does not indicate actual profit for Citigroup or affiliates, nor does it set a floor for secondary market repurchase prices. Citigroup and its affiliates may profit from hedging activities regardless of note value fluctuations. The issuer may offer additional tranches at varying prices and terms after July 21, 2026, with purchase price differences directly affecting investment returns.

Credit Risk and Guarantees

The notes are unsecured senior 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. Investors bear credit risk to both entities, meaning default by either could result in total loss of principal and payments. The pricing supplement explicitly warns that default could lead to investors receiving no payments and losing their entire investment.

The guarantee depends solely on Citigroup Inc.'s creditworthiness and offers no additional credit enhancement. Unlike bank deposits, these notes lack Federal Deposit Insurance Corporation or governmental guarantees. They are structured securities issued by a Citigroup subsidiary, not bank obligations, limiting investor protections to contractual terms and unsecured creditor status.

Liquidity and Secondary Market Risks

The notes will not be listed on any securities exchange and may have limited or no liquidity in secondary markets post-issuance. This illiquidity differentiates them from publicly traded debt or equity securities with active trading. Investors should consider the difficulty of selling before maturity and the potential for wide bid-ask spreads or lack of buyers if early exit is needed.

Citigroup Global Markets Inc. may engage in market-making activities but has no obligation to maintain secondary market liquidity. The combination of unlisted status and product complexity may substantially limit potential secondary buyers. Investors are advised to plan to hold the notes until maturity on August 4, 2028, as early liquidation may pose significant challenges.

No Income or Dividend Participation

The notes do not pay periodic interest or dividends, generating returns solely from basket appreciation subject to participation and cap limits. Investors forgo dividend income from underlying equities, representing a trade-off for downside buffer protection and participation mechanics. Over the roughly two-year term, the absence of dividend income may represent a significant opportunity cost, especially for indices like the FTSE 100 and Swiss Market Index, which historically have higher dividend yields compared to the TOPIX Index.

Market Disruption and Valuation Adjustments

The pricing supplement references potential market disruption events that could affect payment outcomes but does not detail them. The accompanying product supplement contains full disclosures on market disruptions, valuation postponements, and procedures for index discontinuance or modification. Such events could materially impact final basket level calculations and investor payments if they occur during the measurement period.

Investors should review the product and underlying supplements to understand these contingencies. Risks from index discontinuance, modifications, or market disruptions add to normal market and credit risks. These provisions could alter settlement calculations on the August 2, 2028 determination date if extraordinary events arise.

Risk Comparison for Structured Product Investors

The buffered structure provides downside protection not available in direct index investments, allowing participation in 180% of upside while shielding losses up to 17.50%. However, this comes with costs including no dividend income, capped maximum returns at 34.254%, and leveraged losses beyond the buffer. Direct index holders would receive dividends and face proportional downside without leveraged losses.

The notes’ complexity and illiquidity introduce unique risks. Investors must consider Citigroup’s credit risk, limited secondary market liquidity, and the impact of index weightings on returns. The 65% combined weighting to EURO STOXX 50 and TOPIX concentrates exposure to European and Japanese market and currency risks.

Document Structure and Investor Resources

The notes are part of Citigroup Global Markets Holdings Inc.’s Medium-Term Senior Notes, Series N program, governed by multiple documents available via SEC filings. The pricing supplement should be read alongside Product Supplement No. EA-02-12 (dated February 25, 2026), Underlying Supplement No. 13 (dated February 25, 2026), and the Prospectus Supplement and Prospectus (each dated February 25, 2026). These documents provide detailed risk disclosures, payment terms, and index information omitted from the pricing supplement.

This incorporation-by-reference framework requires investors to review all referenced materials to fully understand the notes’ terms and risks. Underlying Supplement No. 13 details the five component indices’ characteristics and historical performance. Prospective investors should allocate sufficient time to review these interconnected documents, as the pricing supplement alone does not provide comprehensive information for investment decisions. The multi-document format, while necessary for compliance and efficiency, increases complexity and information requirements for retail and institutional investors.