Citigroup Launches $2.8 Million Autocallable Equity-Linked Securities Backed by Nasdaq-100, Russell 2000, and S&P 500

Details on Structure and Terms of the Autocallable Securities

Citigroup Global Markets Holdings issued unsecured debt securities guaranteed by Citigroup Inc., each with a stated principal amount of $1,000. All payments are subject to the credit risk of both the issuer and its parent company. Priced on July 24, 2026, issued July 29, 2026, and maturing July 27, 2028 unless called early, the offering raised net proceeds of $2,787,804 after deducting an underwriting fee of $4.00 per security paid to Citigroup Global Markets Inc., the principal underwriter.

The securities’ payoff depends on the performance of three indices: Nasdaq-100 (initial value 28,128.34), Russell 2000 (2,929.999), and S&P 500 (7,411.98). Coupon and final barrier values are set at 60% of each index’s initial value—16,877.004 for Nasdaq-100, 1,757.999 for Russell 2000, and 4,447.188 for S&P 500. Returns hinge on the worst-performing index, exposing investors to downside risk from any of the three.

Contingent Coupon Payment Structure and Conditions

Over 25 scheduled valuation dates from August 24, 2026, through July 24, 2028, contingent coupon payments equal to 0.8333% of principal are paid if the worst-performing underlying’s closing value on the prior valuation date meets or exceeds its coupon barrier. If all coupons are paid, the yield approximates 10.00% per annum. However, investors may receive none or only some of these payments.

A catch-up feature allows payment of previously missed coupons without interest if the worst performer rises above the coupon barrier on a later date. If the worst performer remains below the barrier at maturity, all unpaid coupons are forfeited. Investors do not receive dividends or benefit from underlying appreciation, bearing only downside exposure.

Maturity Payments and Downside Risk Exposure

At maturity on July 27, 2028, unless redeemed early, investors receive the full $1,000 principal plus any final coupon if the worst-performing underlying is at or above 60% of its initial value. If below that threshold, the payment equals $1,000 plus $1,000 multiplied by the worst performer’s return, resulting in significant principal loss. For example, a 50% decline in the worst-performing index would yield only $500 per security.

The filing warns investors may receive substantially less than principal or nothing at maturity if the worst performer closes below the final barrier, forfeiting all final and unpaid coupons.

Automatic Early Redemption (Autocall) Feature

The securities include an autocall feature that redeems the notes early if the worst-performing underlying closes at or above its initial value on any autocall date. Redemption occurs on the next coupon payment date, with investors receiving $1,000 plus the contingent coupon for that period. This feature may limit returns by cutting short the investment if the worst performer recovers.

This mechanism can disadvantage long-term investors by triggering early redemption during favorable market conditions, potentially before the full coupon stream is realized over the approximately two-year term.

Valuation and Secondary Market Liquidity

At issuance, the securities’ estimated value was $989.20 per $1,000 security, based on Citigroup Global Markets Inc.’s proprietary models and internal funding rates. This estimated value is not an indicator of profit or secondary market price, and the securities will not be listed on any exchange.

Investors should expect limited or no liquidity in the secondary market, with no guarantee of being able to sell before maturity. Attempts to sell may result in substantial losses due to the complex payoff and lack of exchange listing.

Credit Risk and Guarantee Details

Payments are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., which fully and unconditionally guarantees all payments including coupons, principal, and early redemptions. However, the guarantee depends on Citigroup Inc.’s creditworthiness. These unsecured debt securities are not insured by the FDIC or any government agency.

Investors bear counterparty credit risk and would be unsecured creditors subordinate to secured and senior debt in case of default. No changes to Citigroup’s credit ratings or financial condition were disclosed; investors should monitor credit risk accordingly.

Comparison with Traditional Debt Securities

The securities offer a higher potential yield (~10.00% per annum) than conventional Citigroup debt of similar maturity, compensating for substantially greater risk. The asymmetric payoff exposes investors to unlimited downside risk without dividend participation or appreciation benefits, while the autocall feature caps upside.

Investors should carefully assess whether the additional yield justifies accepting equity market risk and potential principal loss compared to traditional debt instruments.

Hedging Activities and Underwriter Profitability

Citigroup Global Markets Inc. and affiliates may profit from hedging related to this offering, independent of investor returns. The underwriter may use options or derivatives to hedge exposure to the three indices, generating profits even if securities decline in value.

The estimated value below issue price reflects underwriting fees, hedging costs, and transaction expenses, meaning investors pay a premium over internal valuation at issuance.

Risk Summary and Important Investor Considerations

Key risks include exposure to the worst-performing index of three, automatic early redemption limiting returns, potential significant principal loss if the worst performer falls below 60% of initial value, and limited secondary market liquidity. The estimated value below issue price indicates investors pay above fair value at issuance.

Investors must weigh whether the potential 10.00% annual contingent coupons justify these risks, including the possibility of early redemption and inability to liquidate before maturity.

Registration and Regulatory Information

The offering was made under the Securities Act of 1933, with a registration statement filed with the SEC. The pricing supplement dated July 24, 2026, was filed under Rule 424(b)(2), referencing registration numbers 333-293732 and 333-293732-02. Accompanying documents include a product supplement, underlying supplement, prospectus supplement, and prospectus. Neither the SEC nor any state securities commission has approved or disapproved the securities or verified the disclosure’s completeness.

Investors should review all offering documents carefully, as the pricing supplement alone does not contain all terms and conditions. No unusual regulatory issues were noted in the filing.