Citigroup Launches Callable Contingent Coupon Notes Linked to EURO STOXX 50, Nasdaq-100, and Russell 2000 Indices

Structure Linking Notes to Three Global Equity Indices

The notes’ coupon and maturity payments depend solely on the performance of the worst-performing underlying among the EURO STOXX 50, Nasdaq-100, and Russell 2000 indices. At pricing on July 17, 2026, the indices closed at 6,230.87 (EURO STOXX 50), 28,592.66 (Nasdaq-100), and 2,962.217 (Russell 2000), establishing baseline values for calculating returns over the five-year term. Performance is assessed on 21 scheduled valuation dates, beginning October 19, 2026, and concluding July 17, 2031, allowing quarterly monitoring of index movements.

The "worst-performing underlying" is defined as the index with the largest percentage decline from its initial value, which determines all contingent coupon and maturity payments. This creates concentrated risk for investors, as they receive no benefit from gains in any index and do not participate in dividends. The notes expose investors to losses if any one index declines, irrespective of the performance of the other two.

Contingent Coupon Payment Conditions and Thresholds

Coupon payments are contingent upon the worst-performing index closing at or above 70% of its initial value on each valuation date. On the pricing date, these coupon barrier levels were 4,361.609 for EURO STOXX 50, 20,014.862 for Nasdaq-100, and 2,073.552 for Russell 2000. Investors receive $30 per $1,000 principal (3.00% quarterly or 12.00% annualized) on each of the 20 coupon payment dates if this condition is met.

The coupon structure is binary: full payment or none. If the worst-performing index closes below its barrier on any valuation date, no coupon is paid on the subsequent coupon payment date. This mechanism can lead to multiple missed payments if the index remains below the threshold. There are no partial or scaled payments based on the degree of underperformance.

Maturity Payment and Capital Risk Exposure

At maturity on July 22, 2031, investors receive a payment based on the final value of the worst-performing index on July 17, 2031. If this index closes at or above 60% of its initial value (final barrier levels: 3,738.522 for EURO STOXX 50, 17,155.596 for Nasdaq-100, and 1,777.330 for Russell 2000), investors receive the full $1,000 principal plus any final coupon due.

If the worst-performing index closes below 60%, the maturity payment is reduced proportionally to the index’s return, potentially resulting in significant capital loss. For example, a 50% decline would result in a $500 payment per note. In the event of a 100% decline, investors could lose their entire principal and receive no final coupon payment. There is no upside participation beyond the $1,000 principal.

Issuer Call Rights and Redemption Terms

Citigroup Global Markets Holdings Inc. may call the notes for mandatory redemption in full on any coupon payment date following the October 19, 2026 valuation date through the April 17, 2031 valuation date. Investors receive $1,000 plus any applicable coupon upon redemption, with a minimum three business days’ notice required.

This call feature provides Citigroup flexibility to redeem when market conditions are favorable, potentially limiting investors’ exposure to further market gains. Twenty potential redemption dates over nearly five years offer the issuer significant optionality.

Credit Guarantee and Issuer Risk

Payments on the notes are fully and unconditionally guaranteed by Citigroup Inc., the parent company of the issuer. This guarantee offers recourse if Citigroup Global Markets Holdings Inc. defaults. However, the notes are unsecured obligations, exposing investors to credit risk of both entities. Defaults by either could result in nonpayment of coupons and principal.

The guarantee does not mitigate the structural risks tied to index performance or contingent payments. The notes are not bank deposits and lack FDIC or governmental insurance.

Pricing Details, Underwriting Fees, and Valuation

Issued at $1,000 per note, the offering raised $1.44 million from 1,440 notes. Citigroup Global Markets Inc. earned an underwriting fee of $9.50 per note, totaling $13,680, with net proceeds of $990.50 per note or $1,426,320 total. Additional fees up to $1.50 per note may be paid to electronic platform providers involved in distribution.

Citigroup’s proprietary pricing models estimated the notes’ value at $983.10 each on pricing date, $16.90 below par. This valuation reflects internal funding rates and model assumptions and is not an indication of issuer profit or secondary market prices. Citigroup may profit from hedging activities despite potential declines in note value, indicating possible conflicts of interest.

Liquidity Constraints and Market Availability

The notes will not be listed on any securities exchange, limiting liquidity for investors wishing to sell before maturity. Secondary market transactions may be scarce or unavailable, requiring investors to hold to maturity or find over-the-counter buyers under uncertain conditions.

This illiquidity restricts price transparency and may hinder investors’ ability to adjust positions. The initial estimated valuation is a single point-in-time figure and may differ significantly from actual market bids or offers.

Valuation Methodology and Pricing Transparency

The $983.10 estimated value per note is derived from Citigroup’s proprietary models and internal funding rates. The issuer disclaims that this represents actual profit or secondary market prices, limiting transparency on pricing assumptions such as volatility, correlation, and credit spreads.

The $16.90 discount from par incorporates underwriting fees, credit spreads, volatility premiums, and issuer margins. Without detailed model disclosures, investors cannot independently assess fair pricing or scenario impacts.

Risk Concentration and Index Correlation Considerations

The worst-performing index structure concentrates risk on the single index with the largest decline, despite linkage to three diverse indices: European large-cap (EURO STOXX 50), U.S. technology/growth (Nasdaq-100), and U.S. small-cap (Russell 2000). Gains in two indices do not offset losses in the worst performer, resulting in asymmetric payoffs.

During market stress or crises, multiple indices may decline simultaneously, but the notes’ outcomes depend solely on the worst performer. Divergent regional market movements may cause coupon and maturity payments that do not reflect average index performance. The disclosure lacks historical or stress-test data on index co-movements, leaving investors to evaluate diversification benefits and correlated risks independently.

Regulatory Status and Suitability Warnings

The pricing supplement clarifies that neither the SEC nor state securities commissions have approved or disapproved the notes or verified the completeness of offering documents. Issued under Rule 424(b)(2) of the Securities Act of 1933, the notes are registered unsecured debt instruments (registration Nos. 333-293732 and 333-293732-02).

The complex structure, limited liquidity, contingent coupons, and significant capital risk indicate suitability primarily for institutional or sophisticated retail investors with appropriate risk tolerance. The disclosure warns of risks including potential absence of coupon payments and principal loss. Investors should carefully consider whether the 12.00% annualized contingent coupon adequately compensates for index risk, credit risk, and liquidity constraints.