Citigroup Launches $2.6M Autocallable Equity-Linked Notes Tied to Nasdaq-100 & S&P 500 with 11.8% Annualized Coupon

Offering Structure and Terms of Citigroup’s Autocallable Notes

Citigroup Global Markets Holdings Inc., a subsidiary of Citigroup Inc., issued Medium-Term Senior Notes, Series N, with maturity on July 24, 2031. Guaranteed by Citigroup Inc., the notes were priced on July 21, 2026, and issued July 24, 2026. The offering included 2,595 notes at $1,000 each, generating gross proceeds of $2,595,000 before a $15,570 underwriting fee, resulting in net proceeds of $2,579,430.

The notes feature a quarterly contingent coupon payable if the worst-performing underlying index closes above 75% of its initial value on valuation dates from October 21, 2026, through July 21, 2031. Each qualifying quarter pays 2.95% of principal, equating to an 11.80% annualized coupon. Coupon payments occur on the third business day after each valuation date, with the final coupon paid at maturity.

Dual Index Reference and Performance Mechanics

The securities track the Nasdaq-100 and S&P 500 indices, referencing their closing values on July 20, 2026: 28,604.23 for Nasdaq-100 and 7,443.28 for S&P 500. The notes’ performance depends on the worst-performing index, exposing investors to downside risk from whichever index declines more during measurement periods.

Coupon barriers are set at 75% of initial values: 21,453.173 for Nasdaq-100 and 5,582.460 for S&P 500. At maturity, if the worst-performing underlying closes below 70% of its initial value—20,022.961 for Nasdaq-100 or 5,210.296 for S&P 500—principal repayment is reduced proportionally to the index’s decline. Investors receive no dividends or appreciation from the indices, only exposure to negative performance.

Automatic Early Redemption and Autocall Features

Beginning January 21, 2027, the issuer may redeem the notes early if the worst-performing underlying closes at or above its initial value on any of 19 scheduled autocall dates through April 21, 2031. Upon autocall, investors receive $1,000 per note plus the applicable contingent coupon payment on the next coupon date.

This autocall mechanism limits investor returns by terminating exposure once either index recovers to or exceeds its initial level, thereby shortening the period for collecting quarterly coupons. While favorable index performance triggers early redemption, investors lose potential future coupon payments, creating an asymmetrical risk-reward profile.

Principal Risk and Maturity Payment Scenarios

If not called early, maturity payments on July 24, 2031, depend on the worst-performing index’s closing value relative to its 70% final barrier on July 21, 2031. If the index closes at or above this threshold, investors receive full principal. If below, principal is reduced by the percentage decline, with the possibility of total loss if the index falls 100%. No final coupon or principal is paid if the worst-performing underlying is below the final barrier.

Pricing and Valuation Insights

On July 21, 2026, Citigroup Global Markets Inc. valued the notes at $990.10 each, below the $1,000 issue price, reflecting embedded option costs and structural complexities. The underwriter retained a $6.00 fee per note. This valuation is an internal estimate and may not represent secondary market prices, which can vary significantly. Citigroup and affiliates may also profit from hedging activities related to the notes, potentially creating conflicts of interest.

Credit Risk and Guarantee Structure

All payments are unconditionally guaranteed by Citigroup Inc., providing recourse if Citigroup Global Markets Holdings Inc. defaults. However, investors bear the full credit risk of both entities. These unsecured debt obligations are not FDIC insured and rank below depositors and secured creditors in insolvency scenarios.

Liquidity and Secondary Market Limitations

The notes are not exchange-listed and lack an established secondary market, limiting liquidity. Investors should be prepared to hold through maturity or early redemption. Although Citigroup may provide secondary market quotes, there is no obligation, and prices may fall below issue and estimated values. The notes may be difficult or impossible to sell prior to maturity.

Risk Profile and Suitability Considerations

These notes carry higher risk than conventional Citigroup debt, with contingent coupons dependent on index performance above 75% of initial values. A 25% or greater decline in either index suspends coupon payments. Principal is at risk below a 70% threshold, and early redemption caps upside potential. Exposure to the worst-performing index amplifies risk, as only one index’s decline triggers losses.

Comparative Risk and Return Analysis

The 11.80% annualized coupon exceeds typical Citigroup debt yields, compensating for embedded risks. However, full coupon realization requires the worst-performing index to remain above 75% on all valuation dates without early call. Any quarterly decline below the barrier forfeits that coupon, reducing returns. The notes are priced above estimated fair value, indicating potential overpayment relative to risk. Prospective investors should model various market scenarios to evaluate risk-reward suitability.

Registration and Regulatory Details

The securities are registered under Securities Act numbers 333-293732 and 333-293732-02. The offering is documented via a pricing supplement under Rule 424(b)(2), supplementing the base prospectus and product supplements dated February 25, 2026. Investors must review all offering materials, including Product Supplement No. EA-04-12 and Underlying Supplement No. 13, to understand terms and risks.

The SEC has neither approved nor disapproved the securities nor verified the disclosure’s accuracy. This standard disclaimer underscores the importance of independent due diligence. Given the notes’ complexity, investors lacking expertise in structured products and contingent coupon instruments should seek qualified financial advice before investing.