Citigroup Launches $3.155M Three-Year Callable Contingent Coupon Notes Linked to Worst-Performing Index

Security Structure and Coupon Details

The contingent coupon securities pay 0.8875% of the stated principal on each coupon payment date, equating to an annualized rate of 10.65%. Coupon payments depend on the worst-performing underlying’s closing value remaining at or above its coupon barrier on the prior valuation date. Coupon barrier values are set at 70% of initial underlying values as of the pricing date: Russell 2000 Index at 2,091.177, S&P 500 Index at 5,256.440, and State Street Industrial Select Sector SPDR ETF at $125.062.

If the worst-performing underlying closes below its coupon barrier on any valuation date, no contingent coupon payment is made on the subsequent payment date. Valuation dates occur monthly from August 21, 2026, through July 23, 2029, with adjustments if dates fall on non-trading days or during market disruptions. Coupon payments are made on the third business day after each valuation date, except the final payment coincides with maturity on July 26, 2029.

Downside Risk and Maturity Payoff

At maturity, if the worst-performing underlying’s final value is at or above its final barrier (70% of initial value), investors receive the full $1,000 principal plus any final contingent coupon. If it closes below the final barrier, maturity payment equals $1,000 plus the worst-performing underlying’s return multiplied by $1,000, potentially resulting in significant principal loss or total loss.

Investors bear downside risk tied to the worst-performing of the three underlyings—Russell 2000, S&P 500, and State Street Industrial Select Sector SPDR ETF—without dividend or appreciation participation. This asymmetric risk profile is a key consideration for investors evaluating these securities.

Callable Feature and Early Redemption

Citigroup Global Markets Holdings may call the securities for mandatory redemption on any redemption date from April 21, 2027, through June 21, 2029, with at least three business days’ notice. Upon call, investors receive $1,000 plus any contingent coupon due on that date. This feature allows early retirement of the securities, capping upside potential while maintaining downside exposure.

The call option applies to 29 contingent coupon payment dates between April 2027 and June 2029, enabling the issuer to manage market, credit, or hedging risks. Early redemption ends investors’ exposure to future coupons and underlying performance.

Underlying Indices and Initial Values

The notes are linked to three underlyings with distinct risk profiles: the Russell 2000 Index (small-cap U.S. equities) at 2,987.395, the S&P 500 Index (large-cap U.S. equities) at 7,509.20, and the State Street Industrial Select Sector SPDR ETF (industrial sector equity fund) at $178.66, all as of July 21, 2026.

Coupon and final barrier values are fixed at 70% of these initial levels, remaining static throughout the three-year term. Investors benefit if underlyings stay above these thresholds but face losses if underlyings decline significantly below initial values.

Pricing, Fees, and Valuation

The securities were issued at $1,000 each, raising $3.155 million. Citigroup Global Markets Inc., as principal underwriter, earned $7.00 per security in underwriting fees totaling $22,085. Net proceeds to the issuer were $993 per security, or $3.132 million. CGMI will also pay up to $1.50 per security to electronic platform providers when applicable.

On pricing date, estimated security value was $981.40 per unit, $18.60 below issue price, based on CGMI’s proprietary models and internal funding rates. This valuation does not reflect actual profit or secondary market prices, highlighting the structured nature and potential immediate fair value loss upon issuance.

Credit Risk and Guarantee

Payments depend on creditworthiness of Citigroup Global Markets Holdings Inc. (issuer) and Citigroup Inc. (guarantor). All payments are fully and unconditionally guaranteed by Citigroup Inc., but investors remain exposed to credit risk of both entities. The securities are unsecured obligations, not backed by collateral, and are not FDIC insured or bank obligations.

Liquidity and Market Restrictions

The securities are not exchange-listed and will trade over-the-counter with potentially limited liquidity. Investors should be prepared for difficulty selling prior to maturity due to illiquidity and dealer quoting constraints. This lack of liquidity underscores the importance of understanding the full three-year commitment and risks related to the worst-performing underlying.

Risk Factors for Structured Product Investors

These securities carry risks beyond conventional debt, including the possibility of receiving lower yields due to missed contingent coupons and potential principal loss at maturity tied to the worst-performing underlying. The asymmetric structure means negative performance in any one underlying adversely affects returns, while positive performance in others offers no benefit. This concentrated downside risk and lack of dividend or appreciation participation create a complex risk-return profile distinct from traditional fixed-income products.

Issuer and Registration Information

Issued by Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., and guaranteed by Citigroup Inc. The offering was filed under Rule 424(b)(2) with registration numbers 333-293732 and 333-293732-02. Pricing Supplement No. 2026-USNCH33173 dated July 21, 2026, corresponds to issuance on July 24, 2026. The medium-term senior notes, Series N, are unsecured obligations backed by the parent guarantee.

Accompanying documents include product supplement, underlying supplement, prospectus supplement, and base prospectus dated February 25, 2026, providing detailed disclosures on terms, risks, and regulatory framework governing the securities.