Citigroup Prices $4.68M Autocallable Equity-Linked Notes Tied to Nasdaq-100, Russell 2000, and S&P 500

Autocallable Notes’ Structure and Payment Terms

Issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc., these notes are complex debt instruments designed to offer enhanced yield in exchange for significant downside risk and early redemption potential. Each note has a principal amount of $1,000, priced on July 24, 2026, with an issue date of July 29, 2026. The total gross proceeds amount to $4.68 million, with no underwriting fee disclosed.

Coupon payments depend on the worst-performing underlying index among the Nasdaq-100, Russell 2000, and S&P 500. A contingent coupon of 2.7625% per quarter (11.05% annualized) is paid only if the worst-performing index closes at or above 70% of its initial value on each of the 21 quarterly valuation dates through July 24, 2031. If the worst-performing index falls below this 70% barrier on any valuation date, the subsequent coupon payment is skipped, creating uncertainty for investors’ cash flow and reinvestment.

Initial Index Levels and Barrier Thresholds Set at Pricing

The pricing supplement fixes initial index values as of July 24, 2026: Nasdaq-100 at 28,128.34, Russell 2000 at 2,929.999, and S&P 500 at 7,411.98. These serve as baselines for calculating returns and barrier breaches during the five-year term.

Two barrier levels apply: a coupon barrier at 70% and a final barrier at 60% of the initial index values. For Nasdaq-100, these are 19,689.838 and 16,877.004 respectively; for Russell 2000, 2,050.999 and 1,757.999; and for S&P 500, 5,188.386 and 4,447.188. Investors receive full principal repayment only if the worst-performing index is at or above the 60% final barrier at maturity; otherwise, principal is reduced proportionally to the index’s decline.

Early Redemption Risk via Autocall Feature Starting July 2027

Beginning July 26, 2027, the first autocall date, if the worst-performing underlying closes at or above its initial value on any valuation date, the notes are automatically redeemed the next business day at $1,000 plus the contingent coupon. This early redemption feature may limit total coupon income, as noted in the filing, which warns that favorable performance of the worst index could trigger premature call and curtail coupon payments.

Seventeen additional autocall dates occur through April 24, 2031, each assessing the same condition, creating structural asymmetry where investors bear full downside risk but have capped upside participation.

Downside Exposure Begins Below 60% Barrier; No Dividends or Upside Participation

If the worst-performing index closes below 60% of its initial value at maturity, investors receive principal reduced by that percentage loss. For example, a 70% decline in the weakest index would result in approximately $300 returned per $1,000 invested, reflecting a $700 principal loss.

Investors do not receive dividends from underlying equities nor benefit from index appreciation beyond the initial value trigger for autocall, limiting returns to coupons and potential principal preservation only.

Estimated Fair Value at Pricing Below Issue Price

At pricing, the estimated value per note was $984.20, a $15.80 discount to the $1,000 issue price, based on Citigroup’s proprietary models and internal funding rate. This discount reflects embedded costs and risk premiums related to the autocall feature, barrier levels, and concentration on the worst-performing index. Investors should be aware that this valuation gap may widen if market conditions deteriorate before the first coupon payment.

Credit Risk Concentrated in Citigroup Entities

All payments are obligations of Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. Investors bear credit risk of both entities, with no FDIC or government insurance. Credit deterioration at either level could impair payments and secondary market value despite favorable index performance.

Limited Liquidity and Secondary Market Constraints

The notes are not exchange-listed and may have limited or no liquidity, restricting investors’ ability to exit before maturity or autocall. Secondary market trading details and bid-ask spreads are undisclosed, potentially forcing investors to sell at steep discounts if liquidity is needed.

Quarterly Valuation Dates Over Five-Year Term

Valuation dates occur quarterly from October 26, 2026, through July 24, 2031, triggering coupon payments and autocall assessments. Payment dates follow five business days after each valuation, except the final payment coincides with maturity. Market disruptions or non-trading days may postpone valuations, adding operational risk.

Asymmetric Risk from Worst-Performing Index Focus

Performance depends solely on the single worst-performing index, meaning poor results in one index can negate gains in others. This "worst-of" structure introduces negative convexity and amplifies downside risk, especially in stressed markets where indices may decline simultaneously.

Regulatory Filing and Potential Affiliate Profits

The pricing supplement filed under SEC Rule 424(b)(2) references Registration Statement Nos. 333-293732 and 333-293732-02. Citigroup Global Markets Inc. serves as principal underwriter and may profit from hedging activities related to the offering even if security values decline. Additional risk disclosures are available in accompanying product and prospectus supplements dated February 25, 2026. The CUSIP is 17334C4L5 and ISIN US17334C4L51. The SEC has neither approved nor disapproved the securities nor verified the disclosure’s completeness.