Citigroup Prices $1.956 Billion Autocallable Notes Linked to Euro Stoxx 50 and Russell 2000 Indices

Details on Autocallable Securities Structure

The pricing supplement reveals that Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc., issued unsecured Medium-Term Senior Notes, Series N, each with a principal amount of $1,000. The notes are linked to two indices: the EURO STOXX 50 Index (initial value 6,280.94) and the Russell 2000 Index (initial value 2,929.999). Final barrier levels are set at 65% of initial values—4,082.611 for EURO STOXX 50 and 1,904.499 for Russell 2000. All payments are fully and unconditionally guaranteed by Citigroup Inc., mitigating credit risk concerns for investors.

These notes differ from traditional debt by offering no periodic interest payments and no guaranteed principal repayment at maturity. Returns depend solely on the performance of the worst-performing index from the pricing date, July 24, 2026, through maturity on July 29, 2031. There are 19 scheduled valuation dates starting April 26, 2027, through the final valuation date on July 24, 2031, subject to postponement for non-trading days or market disruptions. Investors face risks tied to both indices, with losses dictated by the weakest performer.

Automatic Early Redemption and Premium Incentives

The filing outlines a tiered premium schedule encouraging early redemption that increases over time. If, on any valuation date before maturity, the worst-performing underlying closes at or above its initial level, the notes are automatically redeemed on the third business day after that date. Investors receive $1,000 plus a premium that starts at 9% on April 26, 2027, escalating to 39% by October 24, 2029, with intermediate premiums of 12%, 15%, 18%, 21%, 24%, 27%, 30%, 33%, and 36% on subsequent dates through July 24, 2030. This structure rewards longer holding periods with higher premiums if the indices recover.

However, automatic redemption prior to the final valuation date terminates the notes, preventing receipt of higher future premiums. Early redemption locks in gains but eliminates potential upside from later valuation dates. The filing notes premiums may be substantially lower than actual index appreciation, reflecting capped returns embedded in the design.

Maturity Scenarios and Downside Exposure

If notes are not redeemed early, three payment outcomes exist at maturity on July 29, 2031. If the worst-performing index’s final value is at or above its initial value, investors receive $1,000 plus the final premium. If the final value is below initial but above the 65% barrier, investors get $1,000 with no premium. If below the 65% barrier, investors incur losses proportional to the decline below the initial value—losing 1% of principal per 1% drop below initial.

This means a drop exceeding 35% in the worst-performing index results in principal loss. For example, a 50% decline yields only $500 per note at maturity. The filing warns investors may receive significantly less than principal or possibly nothing in the worst-case. Additionally, there is no dividend participation or capital appreciation beyond the premium schedule, limiting upside while maintaining full downside risk.

Pricing and Valuation Insights

On July 24, 2026, the estimated value per note was $962.10, below the $1,000 issue price. This valuation is based on Citigroup Global Markets Inc.’s proprietary models and internal funding rates, not indicating profit or secondary market price. Secondary market liquidity may be limited or absent, adding risk for investors.

Underwriting fees total $55,746 across the offering, with $28.50 per note. Net proceeds to the issuer are $1,900,254, representing 97.14% of gross proceeds. Fee-based advisory accounts receive a reduced issue price of $971.50. Citigroup will pay up to $1.00 per note sold through electronic platforms. The filing notes Citigroup and affiliates may profit from hedging activities even if note values decline, presenting a potential conflict of interest.

Risks from Worst-Performing Index Linkage

Linking returns to the worst-performing of two indices compounds risk beyond exposure to either index alone. Investors are negatively impacted by adverse moves in either index, with the poorest performing index driving losses. This structure negates diversification benefits, locking investors into the weakest performance path.

The EURO STOXX 50 includes large-cap European equities with currency and geopolitical risks. The Russell 2000 represents small-cap U.S. stocks, carrying liquidity and volatility risks. Correlation between indices may amplify losses during market stress. Simultaneous declines in both indices could cause substantial losses with no offset.

Credit Risk and Guarantee Details

Payments depend on the creditworthiness of Citigroup Global Markets Holdings Inc. and guarantor Citigroup Inc. While the full guarantee provides credit support, investors must accept the risk of nonpayment if either defaults. The securities are not bank deposits, not FDIC insured, nor guaranteed by any government agency or bank.

Investors face both market risk from index performance and counterparty risk related to Citigroup’s ability to meet obligations. Financial stress or credit rating downgrades could sharply reduce secondary market value independent of index results. Liquidity may be limited or nonexistent, complicating exit strategies.

Trading and Market Listing Information

The notes will not be exchange-listed, relying solely on over-the-counter trading primarily facilitated by Citigroup affiliates. This reduces liquidity and price transparency compared to exchange-traded securities. Investors selling before maturity may encounter wide bid-ask spreads, few buyers, or no quotes during market turmoil.

Citigroup Global Markets Inc. is the sole underwriter and distributor, controlling pricing and valuations. The estimated value below issue price highlights immediate value erosion and issuer profit potential, which may not be transparent to all investors.

Regulatory Filing and Documentation

The pricing supplement was filed under Rule 424(b)(2) referencing SEC Registration Statements 333-293732 and 333-293732-02. The offering is governed by product supplement No. EA-02-12, underlying supplement No. 13, prospectus supplement, and prospectus dated February 25, 2026. The SEC has neither approved nor disapproved the securities, and disclaimers warn against misrepresentations.

Investors must review multiple documents to fully understand terms. Foundational prospectus materials predate pricing by nearly five months, potentially creating timing gaps between disclosures and current market conditions.

Comparison with Traditional Debt Instruments

These autocallable notes differ fundamentally from conventional bonds, which pay periodic coupons and guarantee principal. Here, no interest is paid and principal is only guaranteed if index conditions are met. Investors trade fixed-income safety for index-linked returns without equity upside, as no dividends or capital gains beyond premiums are provided.

This hybrid instrument represents a leveraged bet on index performance with embedded optionality favoring the issuer. The "worst-of" linkage exposes investors to short volatility and correlation risk, benefiting only stable or rising markets while amplifying losses in downturns. Compared to owning ETFs tracking EURO STOXX 50 or Russell 2000, these notes offer downside risk without corresponding upside, making them less attractive for most long-term investors.