Citigroup Launches Autocallable Equity-Linked Notes Backed by Take-Two Interactive Stock

Contingent Coupon Payment Mechanism

The notes pay contingent coupons of 1.0042% of the principal on each coupon date, equating to roughly a 12.05% annualized rate. Payments occur only if Take-Two Interactive's stock closing price on the prior valuation date is at or above the coupon barrier of $134.357, which is 58% of the initial underlying price of $231.65 set at issuance. If the stock closes below this barrier, no coupon is paid for that period.

Valuation dates occur monthly from August 24, 2026, through August 24, 2027, with coupon payments scheduled three business days after each valuation date, except the final payment coinciding with maturity on August 27, 2027. This monthly evaluation exposes investors to frequent risks of coupon nonpayment if the stock underperforms relative to the coupon barrier.

Automatic Early Redemption Features and Return Constraints

The notes include automatic early redemption opportunities on specified autocall dates: January 25, February 24, March 24, April 26, May 24, June 24, and July 26, 2027. If on any of these dates Take-Two Interactive stock closes at or above the initial underlying price of $231.65, the notes are redeemed early at $1,000 plus the contingent coupon. This mechanism can limit upside returns, as strong stock performance triggers early redemption, ending further coupon accrual.

This early redemption creates an asymmetrical payoff: investors receive redemption and cease coupon payments if the stock performs well, but bear full downside risk if the stock declines, with no protection from early redemption features. Investors trade potential upside participation for the chance of higher contingent coupons that may not be paid if the stock underperforms.

Principal Risk and Maturity Payment Details

If not redeemed early, at maturity on August 27, 2027, principal repayment depends on the final underlying stock price on August 24, 2027. If the final price is at or above the barrier of $134.357, investors receive the full $1,000 principal. If below, repayment is reduced by the stock's depreciation relative to the initial price, potentially resulting in principal losses.

For example, a 50% decline from the initial $231.65 price would yield approximately $884 per note at maturity, reflecting a principal loss. The filing warns that investors could receive significantly less than principal, or potentially nothing. No final contingent coupon is paid if the stock closes below the barrier on the last valuation date. Additionally, investors do not receive dividends or benefit from stock appreciation beyond principal repayment.

Pricing, Fees, and Valuation Insights

Priced at $1,000 per note on July 24, 2026, with an issue date of July 29, 2026, Citigroup Global Markets Inc. acted as underwriter, earning $21.50 per note in fees, totaling $10,664 on the $496,000 offering. Net proceeds to the issuer were $485,336, or $978.50 per note. Up to $1.00 per note may be paid to electronic platform providers used by dealers and custodians.

Citigroup's proprietary pricing models valued the notes at $971.40 each at issuance, a $28.60 discount to the issue price. This valuation does not indicate actual profit or secondary market price and may not reflect investor sale prices. Citigroup and affiliates may profit from hedging activities related to the offering, even if note values decline, posing potential conflicts of interest.

Credit Risk and Guarantee Information

All payments depend on Citigroup Global Markets Holdings Inc.'s creditworthiness and are fully guaranteed by Citigroup Inc. Investors rely entirely on Citigroup Inc.'s ability and willingness to meet obligations. The notes are unsecured debt, not FDIC insured or government guaranteed, exposing investors to issuer-specific and systemic financial risks over the one-year term.

Liquidity and Secondary Market Considerations

The notes will not be listed on any exchange, limiting liquidity. While Citigroup or affiliates may provide a secondary market, there is no obligation or pricing commitment. Investors should expect limited or no liquidity, with potential significant markdowns influenced by stock price, interest rates, and credit spreads. Early exit could incur substantial costs or lack of buyers.

Dependence on Take-Two Interactive Stock Performance

Returns are fully dependent on Take-Two Interactive Software, Inc.'s stock price relative to set barriers. The initial price was $231.65 on July 24, 2026, with the coupon barrier at $134.357 (58% of initial price). Investors must assess the company’s fundamentals, competitive landscape, earnings outlook, and market conditions, as no forecasts or recommendations are provided.

Volatility in the video game sector could cause significant price swings affecting coupon payments and principal repayment. Historical performance is not indicative of future results.

No Dividend Rights and Structural Payoff Limitations

Investors will not receive dividends from Take-Two Interactive stock nor participate in any appreciation beyond principal return in downside scenarios, representing a structural disadvantage versus direct equity ownership. Early redemption upon stock appreciation limits gains, while stock declines expose investors to full losses, creating an asymmetrical payoff unfavorable to investors.

Market Disruption and Valuation Adjustments

Valuation dates may be postponed if they fall on non-trading days or if market disruption events occur affecting Take-Two Interactive stock. The referenced product supplement details how closing values are determined and adjustments made under such events, introducing uncertainty in coupon timing and maturity valuation.

Investors should review the full product supplement to understand potential delays and adjustments that could impact returns.

Regulatory Filings and Documentation

The notes were filed under Rule 424(b)(2) of the Securities Act of 1933, with registration numbers 333-293732 and 333-293732-02. The offering price was filed on July 24, 2026, based on Product Supplement No. EA-04-12 dated February 25, 2026, along with prospectus supplements and prospectus dated the same day. The SEC and state securities commissions have neither approved nor disapproved the securities nor confirmed the accuracy of the pricing supplement.

The CUSIP is 17334C2U7 and ISIN US17334C2U78. Citibank, N.A. acts as paying agent. Investors should keep all related documents for tax and record purposes and consult the product supplement, prospectus supplement, and prospectus for full terms and conditions not detailed here.