Citigroup Notes Linked to S&P 500 Futures Index

TL;DR

Citi launching new notes tied to S&P 500 futures index - high risk, potential coupons, auto-call feature.

AI Summary

Citigroup Global Markets Holdings Inc. is issuing Medium-Term Senior Notes, Series N, due April 8, 2036, under registration statements 333-293732 and 333-293732-02. These notes are linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER. The securities offer potential periodic coupon payments if the underlying's value meets a specified barrier on a valuation date, and may be automatically redeemed if the underlying reaches its initial value on an autocall date.

Why It Matters

This filing details new debt securities from Citigroup, offering investors a specific return structure tied to a complex S&P 500 futures index, which carries significant risks.

Risk Assessment

Risk Level: high — The underlying index is highly risky due to leveraged exposure to declines, implicit financing costs, and a significant 6% annual decrement, making it likely to underperform the S&P 500.

Key Numbers

• 6% — Decrement (Annual drag on the underlying index performance)
• 35% — Edge Volatility (Component of the underlying index name)

Key Players & Entities

• Citigroup Inc. (company) — Guarantor of the securities
• Citigroup Global Markets Holdings Inc. (company) — Issuer of the securities
• April 8, 2036 (date) — Maturity date of the notes
• S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER (index) — Underlying asset for the securities
• 333-293732 (registration_number) — Part of the registration statement

FAQ

Key Financial Figures

• $1,000 — x (USD) ER Stated principal amount: $1,000 per security Pricing date: April 6,
• $1,000.00 — Proceeds to issuer Per security: $1,000.00 $50.00 $950.00 Total: $781,000.
• $50.00 — to issuer Per security: $1,000.00 $50.00 $950.00 Total: $781,000.00 $39,
• $950.00 — Per security: $1,000.00 $50.00 $950.00 Total: $781,000.00 $39,050.00 $
• $781,000.00 — $1,000.00 $50.00 $950.00 Total: $781,000.00 $39,050.00 $741,950.00 (1) On the
• $39,050.00 — 0.00 $950.00 Total: $781,000.00 $39,050.00 $741,950.00 (1) On the date of this
• $741,950.00 — 0 Total: $781,000.00 $39,050.00 $741,950.00 (1) On the date of this pricing suppl
• $882.50 — he estimated value of the securities is $882.50 per security, which is less than the is
• $1.50 — electronic platform providers a fee of $1.50 for each security sold in this offering
• $7.50 — ; less than initial underlying value) $7.50 (contingent coupon is paid; securities
• $0.00 — 45 (less than coupon barrier value) $0.00 (no contingent coupon; securities not
• $1,007.50 — r value and initial underlying value) $1,007.50 (contingent coupon is paid; securities

Filing Documents

• form424b2.htm (424B2) — 378KB
• exfilingfees.htm (EX-FILING FEES) — 45KB
• image_001.jpg (GRAPHIC) — 107KB
• image_002.jpg (GRAPHIC) — 139KB
• image_003.jpg (GRAPHIC) — 115KB
• image_004.jpg (GRAPHIC) — 9KB
• image_005.jpg (GRAPHIC) — 2KB
• image_006.jpg (GRAPHIC) — 3KB
• image_007.jpg (GRAPHIC) — 3KB
• image_008.jpg (GRAPHIC) — 5KB
• image_009.jpg (GRAPHIC) — 2KB
• image_010.jpg (GRAPHIC) — 82KB
• 0001918704-26-009550.txt ( ) — 1170KB
• exfilingfees_htm.xml (XML) — 6KB

From the Filing

SUPPLEMENT 424B2 Citigroup Global Markets Holdings Inc. April 6, 2026 Medium-Term Senior Notes, Series N Pricing Supplement No. 2026-USNCH31404 Filed Pursuant to Rule 424(b)(2) Registration Statement Nos. 333-293732 and 333-293732-02 Autocallable Contingent Coupon Market-Linked Securities Linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER Due April 8, 2036 The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The securities offer the potential for periodic contingent coupon payments at the rate specified below. You will receive a contingent coupon payment on a contingent coupon payment date if, and only if, the closing value of the underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value specified below. The securities will be automatically called for redemption prior to maturity if the closing value of the underlying on any potential autocall date is greater than or equal to its initial underlying value. In addition, you will not receive dividends with respect to the underlying or participate in any appreciation of the underlying. The underlying is highly risky because it may reflect highly leveraged exposure to any decline in the S&P 500 Futures Excess Return Index. The S&P 500 Futures Excess Return Index tracks futures contracts on the S&P 500 Index and is likely to underperform the S&P 500 Index because of an implicit financing cost. In addition, the underlying is subject to a decrement of 6% per annum, which will be a significant drag on its performance. You should carefully review the section "Summary Risk Factors—Risks relating to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER" in this pricing supplement. Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. KEY TERMS Issuer: Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. Guarantee: All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc. Underlying: The S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER Stated principal amount: $1,000 per security Pricing date: April 6, 2026 Issue date: April 8, 2026 Valuation dates: May 5, 2026, June 3, 2026, July 2, 2026, August 5, 2026, September 2, 2026, October 5, 2026, November 4, 2026, December 3, 2026, January 5, 2027, February 3, 2027, March 3, 2027, April 5, 2027, May 5, 2027, June 3, 2027, July 2, 2027, August 4, 2027, September 2, 2027, October 5, 2027, November 3, 2027, December 3, 2027, January 5, 2028, February 3, 2028, March 3, 2028, April 5, 2028, May 3, 2028, June 5, 2028, July 5, 2028, August 3, 2028, September 5, 2028, October 5, 2028, November 3, 2028, December 5, 2028, January 3, 2029, February 5, 2029, March 5, 2029, April 4, 2029, May 3, 2029, June 5, 2029, July 3, 2029, August 3, 2029, September 5, 2029, October 4, 2029, November 5, 2029, December 5, 2029, January 3, 2030, February 5, 2030, March 5, 2030, April 3, 2030, May 3, 2030, June 5, 2030, July 2, 2030, August 5, 2030, September 4, 2030, October 3, 2030, November 5, 2030, December 4, 2030, January 3, 2031, February 5, 2031, March 5, 2031, April 3, 2031, May 5, 2031, June 4, 2031, July 2, 2031, August 5, 2031, September 3, 2031, October 3, 2031, November 5, 2031, December 3, 2031, January 5, 2032, February 4, 2032, March 3, 2032, April 5, 2032, May 5, 2032, June 3, 2032, July 2, 2032, August 4, 2032, September 2, 2032, October 5, 2032, November 3, 2032, December 3, 2032, January 5, 2033, February 3, 2033, March 3, 2033, April 5, 2033, May 4, 2033, June 3, 2033, July 5, 2033, August 3, 2033, September 2, 2033, October 6, 2033, November 3, 2033, December 5, 2033, January 4, 2034, February 3, 2034, March 3, 2034, April 4, 2034, May 3, 2034, June 5, 2034, July 5, 2034, August 3, 2034, September 5, 2034, October 5, 2034, November 3, 2034, December 5, 2034, January 3, 2035, February 5, 2035, March 5, 2035, April 4, 2035, May 3, 2035, June 5, 2035, July 3, 2035, August 3, 2035, September 5, 2035, October 4, 2035, November 5, 2035, December 5, 2035, January 3, 2036, February 5, 2036, March 5, 2036 and April 3, 2036 (the "final valuation date"), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur Maturity date: Unless earlier redeemed, April 8, 2036 Contingent coupon payment dates: The 8th day of each month, beginning in May 2026, provided that the final contingent coupon payment date will be the maturity date. Each contingent coupon p