Citigroup Launches $6.566 Million Auto-Callable Securities Linked to Snowflake Stock with Quarterly Contingent Coupons

Structured Product Design and Payment Features

These securities are a complex structured debt offering combining fixed-income elements with embedded equity derivatives. Issued as unsecured debt fully guaranteed by Citigroup Inc., each security has a $1,000 stated principal amount and matures on July 20, 2029, unless early redemption is triggered by Snowflake stock performance.

The core of the risk-return profile is the contingent coupon structure. Investors receive quarterly coupons equal to 5.2125% of principal ($52.125 per security) if Snowflake stock closes at or above the $134.45 downside threshold (50% of the initial $268.90 price) on valuation dates. If the stock closes below this threshold, no coupon is paid that quarter, but unpaid coupons accumulate and are paid once the stock recovers above the threshold.

Early Redemption Mechanism and Upside Cap

The securities include an automatic early redemption feature that limits upside participation while offering capital preservation at set levels. Starting about three months post-issue, on quarterly redemption dates, if Snowflake stock closes at or above $268.90, securities redeem automatically on the next coupon payment date. Investors then receive the $1,000 principal plus any due contingent coupons, including accrued unpaid amounts.

This mechanism caps investor gains, as no additional benefit is received for stock prices exceeding $268.90. Unlike typical equity-linked securities with call options, these instruments restrict upside beyond the initial price while exposing investors fully to downside risk below the $134.45 threshold. Valuation dates occur quarterly from October 19, 2026, through the final valuation on July 17, 2029.

Maturity Outcomes and Downside Risk

At maturity on July 20, 2029, two payment scenarios apply based on Snowflake's closing price. If the price is at or above $134.45, investors receive full principal plus the final contingent coupon and any accumulated unpaid coupons, representing full principal protection.

If the closing price is below $134.45, investors receive a payment equal to $1,000 multiplied by the security's share return, resulting in principal losses potentially exceeding 50%. In this case, all unpaid coupons are forfeited. For example, a 60% stock decline to approximately $107.56 would cause substantial principal loss and zero coupon income, with final redemption potentially near zero.

Pricing Details, Fees, and Valuation

Citigroup priced the securities at $1,000 each, raising $6.566 million in stated principal. Fees total $22.50 per security: a $22.50 underwriting fee to Citigroup Global Markets Inc., with $17.50 selling concessions to dealers including Morgan Stanley Wealth Management, a $5.00 structuring fee to Morgan Stanley Wealth Management, and $0.50 fees to electronic platform providers where applicable.

Internal valuation models estimated the securities’ value at $967.10 per security at pricing, about 3.29% below issue price. This estimate does not indicate actual profit or secondary market price and reflects Citigroup’s proprietary models and funding rates. Hedging activities by Citigroup and affiliates may generate profits regardless of subsequent security value changes.

Snowflake Inc. Equity Exposure Framework

The securities' economic exposure derives exclusively from Snowflake Inc., a cloud computing company trading under ticker "SNOW UN." Snowflake is designated as the underlying share issuer, with all contingent payments, early redemption triggers, and maturity calculations tied to its stock price on set valuation dates. The initial share price of $268.90 was set at pricing on July 17, 2026.

Investors do not receive direct equity participation or dividends despite full downside exposure. The disclosure states investors "will not participate in any appreciation of the underlying shares or receive any dividends." Dividends accrue to Citigroup and affiliates, while stock price appreciation triggers automatic redemption at principal, limiting investor upside. The 20.85% annualized coupon attempts to compensate for this asymmetry, payable only when stock remains above the 50% downside threshold.

Liquidity and Credit Risk Considerations

The securities are unlisted and principal-at-risk instruments with limited or no secondary market liquidity, restricting investors’ ability to exit positions before maturity. The disclosure highlights "an investment that may have limited or no liquidity" as a key risk, creating a forced-hold scenario until early redemption or maturity.

All payments depend on Citigroup Inc. and Citigroup Global Markets Holdings Inc. creditworthiness. Despite Citigroup Inc.’s unconditional payment guarantee, investors face default or payment deferral risk if the issuer or guarantor encounters financial distress. These securities are not bank deposits, carry no FDIC or government guarantees, and expose investors to layered counterparty risk beyond traditional bank or government-backed products.

Risk Profile Compared to Conventional Debt

The contingent coupon yield compensates investors for equity market risk not present in conventional Citigroup debt of similar maturity. If Snowflake stock remains above the downside threshold throughout the term, investors can earn the full 20.85% annualized yield, exceeding comparable debt yields. However, the disclosure warns actual yields may be lower or negative due to missed coupons or principal losses.

Specifically, if Snowflake stock declines materially below $134.45 and stays there through maturity, investors may lose principal and receive no coupon income, resulting in total returns significantly worse than conventional fixed-income securities offering principal protection and positive yields.

Regulatory Filings and Distribution

The pricing supplement was filed under SEC Rule 424(b)(2) referencing registration statements 333-293732 and 333-293732-02, indicating an offering under an existing effective registration. It accompanies product supplement No. EA-04-12, prospectus supplement, and prospectus dated February 25, 2026, forming the regulatory framework.

Citigroup Global Markets Inc. acted as principal underwriter with dealers including Morgan Stanley Wealth Management involved in sales. The underwriting structure presents potential conflicts of interest, as Citigroup may profit from hedging regardless of security performance. The issue date was July 22, 2026, five days after pricing.

Investor Suitability and Considerations

The supplement notes these securities are unsuitable for investors unfamiliar with risks beyond conventional debt, targeting institutional or sophisticated investors knowledgeable in equity derivatives, structured credit, and contingent payments. Minimum investment and accreditation standards were not disclosed, leaving suitability determinations to distributors.

Investors must accept equity price risk, contingent coupon uncertainty, and limited liquidity. The asymmetric payoff structure exposes investors to full downside risk without equity upside or dividends, potentially resulting in negative total returns and no coupon income, distinguishing these securities sharply from traditional fixed-income or equity investments.