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花旗集团全球市场控股公司

2026年10月16日

中期高级债券，系列N

定价补充文件第2026-USNCH34432号

根据规则424(b)(2)提交

注册声明编号333-293732和333-293732-02

与标普500期货40%日内优势波动率TCA 6%递减指数（美元）ER于2031年10月21日到期的缓冲自动回售证券

▪本定价补充文件中提供的证券是花旗集团全球市场控股公司发行的无担保债务证券，并由花旗公司担保。与传统债务证券不同，这些证券不支付利息，不保证到期时偿还本金，并且可能根据以下所述条款在定期基础上自动提前赎回。您在证券上的回报将取决于以下所述的标的资产的表现。

▪本证券在第一个估值日（最终估值日除外）之后可能以溢价自动提前赎回，该估值日的标的资产收盘价大于或等于初始标的资产价值。如果证券在到期前未被自动赎回，则证券将在到期时提供以下两种方式：(i) 如果最终标的资产价值大于或等于初始标的资产价值，则偿还面值金额加溢价，或(ii) 如果最终标的资产价值小于初始标的资产价值但大于或等于以下规定的最终缓冲值，则仅偿还面值金额，无溢价。作为这些特点的交换，证券的投资者必须愿意放弃与标的资产相关的任何股息。此外，证券的投资者必须愿意接受标的资产贬值超过以下规定的缓冲百分比的下行风险。如果证券在到期前未被自动赎回，并且标的资产从初始标的资产价值到最终标的资产价值的贬值超过缓冲百分比，您将损失证券面值金额的1%，每超过缓冲百分比1%，损失1%。尽管您会面临标的资产的下行风险，但您不会获得与标的资产相关的股息，也不会参与标的资产的任何增值。

▪标的资产以波动率目标、趋势调整的方式跟踪标普500期货超额收益指数的敞口，减去某些名义成本，再减去每年6%的递减。由于可能反映标普500期货超额收益指数任何下跌的高杠杆敞口，标的资产风险极高。标普500期货超额收益指数跟踪标普500^®指数的期货合约，由于隐含的融资成本，很可能跑输标普500^®指数。此外，名义成本和每年6%的递减将显著拖累标的资产的表现。您应仔细查阅本定价补充文件中的“摘要风险因素—与标普500期货40%日内优势波动率TCA 6%递减指数（美元）ER相关的风险”。

▪投资者在证券方面必须愿意接受（i）可能流动性有限或没有流动性的投资，以及（ii）如果我们和花旗公司（Citigroup Inc.）未能履行义务，可能无法收到证券项下任何应付款项的风险。证券上的所有付款均受花旗全球市场控股公司（Citigroup Global Markets Holdings Inc.）和花旗公司（Citigroup Inc.）的信用风险影响。

\n 关键条款 \n
\n 发行人： \n	\n 花旗全球市场控股公司（Citigroup Global Markets Holdings Inc.），花旗公司（Citigroup Inc.）的全资子公司。 \n
\n 担保： \n	\n 证券项下所有应付款项均由花旗公司（Citigroup Inc.）全额且无条件担保。 \n
\n 标的资产： \n	\n 标普500期货40%日内波动率TCA 6%递减指数（美元）ER \n
\n 面值： \n	\n 每份证券1000美元 \n
\n 定价日： \n	\n 2026年10月16日 \n
\n 发行日： \n	\n 2026年10月21日 \n
\n 到期日： \n	\n 除非提前赎回，否则为2031年10月21日 \n
\n 自动提前赎回： \n	\n 如果在最终估值日之前的任何估值日，标的资产的收盘价大于或等于初始标的资产价值，证券将在该估值日后的第三个营业日自动赎回，每份证券的赎回金额为1000美元加上该估值日适用的溢价。如果在最终估值日之前的任何估值日证券被自动赎回，证券将不再流通，您将不会收到任何后续估值日适用的溢价。 \n
\n 到期时的支付： \n	\n 如果证券在到期前未被自动赎回，您将在到期时获得您当时持有的每份证券的支付： \n ■如果最终标的资产价值大于或等于初始标的资产价值： \n 1000美元 + 该最终估值日适用的溢价 \n ■如果最终标的资产价值小于初始标的资产价值但大于或等于最终缓冲值： \n $1,000 \n ■如果最终标的资产价值小于最终缓冲值： \n 1000美元 + [1000美元 × (标的资产回报率 + 缓冲百分比)] \n 如果证券在到期前未被自动赎回，且最终标的资产价值小于最终缓冲值，这意味着标的资产从初始标的资产价值贬值超过缓冲百分比，您将在到期时损失证券面值的1%，每超过缓冲百分比1%，损失1%。 \n
\n 初始标的资产价值： \n	\n 9,066.87，定价日标的资产的收盘价 \n
\n 最终标的资产价值： \n	\n 最终估值日标的资产的收盘价 \n
\n 最终缓冲值： \n	\n 7,706.8395，初始标的资产价值的85.00% \n
\n 缓冲百分比： \n	\n 15.00% \n
\n 上市： \n	\n 证券不会在任何证券交易所上市 \n
\n 承销商： \n	\n 花旗全球市场公司（Citigroup Global Markets Inc.）（“CGMI”），发行人关联公司，作为交易对手 \n
\n 承销费用和发行价： \n	\n 发行价⁽¹⁾ \n	\n 承销费用⁽²⁾ \n	\n 发行人所得⁽³⁾ \n
\n 每份证券： \n	\n $1,000.00 \n	\n $45.00 \n	\n $955.00 \n
\n 总计： \n	\n $438,000.00 \n	\n $19,710.00 \n	\n $418,290.00 \n

（关键条款继续下一页）

(1) On the date of this pricing supplement, the estimated value of the securities is $880.70 per security, which is less than the issue price. The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.

(2) CGMI will receive an underwriting fee of up to $45.00 for each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give effect to the actual total underwriting fee. For more information on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.

(3) The per security proceeds to issuer indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting fee. As noted above, the underwriting fee is variable.

In addition, CGMI will pay to one or more electronic platform providers a fee of up to $2.00 for each security sold in this offering where related selected dealers and/or custodians implement or utilize such providers.

Investing in the securities involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-9.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying product supplement, index supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense.

You should read this pricing supplement together with the accompanying product supplement, index supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:

Product Supplement No. EA-02-12 dated February 25, 2026 Index Supplement No. IS-17-02 dated February 25, 2026
Prospectus Supplement and Prospectus each dated February 25, 2026

The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

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Citigroup Global Markets Holdings Inc.

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\n KEY TERMS (continued) \n
\n Valuation dates and premiums: \n	\n The premium applicable to each valuation date is the percentage of the stated principal amount set forth below. The premium may be significantly less than the appreciation of the underlying from the pricing date to the applicable valuation date. \n \n Valuation date^* \n \n Premium \n \n \n October 19, 2027 \n \n 21.00% of the stated principal amount \n \n \n November 16, 2027 \n \n 22.75% of the stated principal amount \n \n \n December 16, 2027 \n \n 24.50% of the stated principal amount \n \n \n January 18, 2028 \n \n 26.25% of the stated principal amount \n \n \n February 16, 2028 \n \n 28.00% of the stated principal amount \n \n \n 2028年3月16日 \n \n 29.75％的面值金额 \n \n \n 2028年4月17日 \n \n 31.50％的面值金额 \n \n \n 2028年5月16日 \n \n 33.25％的面值金额 \n \n \n 2028年6月16日 \n \n 35.00％的面值金额 \n \n \n 2028年7月17日 \n \n 36.75％的面值金额 \n \n \n 2028年8月16日 \n \n 38.50％的面值金额 \n \n \n 2028年9月18日 \n \n 40.25％的面值金额 \n \n \n 2028年10月16日 \n \n 42.00％的面值金额 \n \n \n 2028年11月16日 \n \n 43.75％的面值金额 \n \n \n 2028年12月18日 \n \n 45.50％的面值金额 \n \n \n 2029年1月16日 \n \n 47.25％的面值金额 \n \n \n 2029年2月16日 \n \n 49.00％的面值金额 \n \n \n 2029年3月16日 \n \n 50.75％的面值金额 \n \n \n 2029年4月16日 \n \n 52.50％的面值金额 \n \n \n 2029年5月16日 \n \n 54.25％的面值金额 \n \n \n 2029年6月18日 \n \n 56.00％的面值金额 \n \n \n 2029年7月16日 \n \n 57.75％的面值金额 \n \n \n 2029年8月16日 \n \n 59.50％的面值金额 \n \n \n 2029年9月17日 \n \n 61.25％的面值金额 \n \n \n 2029年10月16日 \n \n 63.00％的面值金额 \n \n \n 2029年11月16日 \n \n 64.75％的面值金额 \n \n \n 2029年12月17日 \n \n 66.50％的面值金额 \n \n \n 2030年1月16日 \n \n 68.25％的面值金额 \n \n \n 2030年2月19日 \n \n 70.00％的面值金额 \n \n \n 2030年3月18日 \n \n 71.75% 的面值金额 \n \n \n 2030年4月16日 \n \n 73.50% 的面值金额 \n \n \n 2030年5月16日 \n \n 75.25% 的面值金额 \n \n \n 2030年6月17日 \n \n 77.00% 的面值金额 \n \n \n 2030年7月16日 \n \n 78.75% 的面值金额 \n \n \n 2030年8月16日 \n \n 80.50% 的面值金额 \n \n \n 2030年9月16日 \n \n 82.25% 的面值金额 \n \n \n 2030年10月16日 \n \n 84.00% 的面值金额 \n \n \n 2030年11月18日 \n \n 85.75% 的面值金额 \n \n \n 2030年12月16日 \n \n 87.50% 的面值金额 \n \n \n 2031年1月16日 \n \n 89.25% 的面值金额 \n \n \n 2031年2月18日 \n \n 91.00% 的面值金额 \n \n \n 2031年3月17日 \n \n 92.75% 的面值金额 \n \n \n 2031年4月16日 \n \n 94.50% 的面值金额 \n \n \n 2031年5月16日 \n \n 96.25% 的面值金额 \n \n \n 2031年6月16日 \n \n 98.00% 的面值金额 \n \n \n 2031年7月16日 \n \n 99.75% 的面值金额 \n \n \n 2031年8月18日 \n \n 101.50% 的面值金额 \n \n \n 2031年9月16日 \n \n 103.25% 的面值金额 \n \n \n 2031年10月16日（“最终估值日”） \n \n 105.00% 的面值金额 \n \n \n \n \n ^*如果该日期不是预定交易日或发生某些市场中断事件，每个估值日可能会被推迟 \n
\n 标的资产收益： \n	\n (i) 最终标的资产价值减去初始标的资产价值，除以 (ii) 初始标的资产价值 \n
\n 支付代理： \n	\n 花旗银行，N.A。 \n
\n CUSIP / ISIN： \n	\n 17334DNK4 / US17334DNK45 \n

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PS-2

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花旗集团市场控股公司

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更多信息

证券条款载于随附的产品补充文件、招股说明书补充文件和招股说明书，且通过本定价补充文件进行补充。随附的产品补充文件、招股说明书补充文件和招股说明书包含本定价补充文件中未重复的重要披露信息。例如，随附的产品补充文件包含有关如何确定标的资产的收盘价值以及在发生市场中断事件和其他与标的资产相关的特定事件时可能对证券条款进行调整的重要信息。随附的指数补充文件包含本定价补充文件中未重复的有关标的资产的重要信息。在与您投资证券有关的情况下，重要的是您应将随附的产品补充文件、指数补充文件、招股说明书补充文件和招股说明书与本定价补充文件一起阅读。本定价补充文件中使用但未定义的某些术语在随附的产品补充文件或随附的指数补充文件中定义。

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PS-3

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花旗全球市场控股公司

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摘要指数描述

本定价补充文件中关于标普500期货40%盘中优势波动率TCA 6%递减指数（美元）ER（“标的资产”或“指数”）的所有信息均来自标普道琼斯指数有限责任公司提供的信息，即指数发起人，且未经独立验证。此信息反映了指数发起人的政策，并可能由该发起人更改。指数发起人没有义务继续发布该指数，且可能随时停止发布该指数。该指数于2025年8月14日推出，因此其表现历史有限。

该指数以波动率目标为基础，根据趋势调整，跟踪标普500期货超额收益指数（我们称之为“标的期货指数”）的敞口，减去某些名义成本，再减去每年6%的递减率。该指数的波动率目标为40%，当标的波动率低于波动率目标时，它会通过对其标的期货指数敞口应用杠杆（最高达500%）来尝试实现该目标，而当标的波动率高于波动率目标时，它会将对标的期货指数的敞口减少到100%以下。该指数可在每个指数交易日的四个盘中窗口期间，根据相关盘中定价时间的标的波动率衡量值调整其对标的期货指数的敞口，具体取决于当时标的期货指数的盘中趋势衡量值（并且仅在第四个盘中窗口期间，根据隔夜均值回归趋势进行调整），并在交易收盘时再次调整其敞口，所有这些内容在随附的指数补充文件中有更详细的描述。

标的期货指数跟踪一项假设投资的表现，该投资每季度滚动投资于标普500^®指数的期货合约，因此预计会反映标普500^®指数的表现，减去隐含的融资成本。标普500^®指数由500家发行人普通股票组成，这些发行人被选定以提供美国股市大市值部分的表现基准。

该指数的方法论基于以下关键假设：(1) 业绩与波动率之间存在反向关系，因此在波动率较低时，标的期货指数往往会增加，在波动率较高时会下降；(2) 标的期货指数价值的短期日内趋势往往会持续；(3) 指数规则能够有效识别标的期货指数出现隔夜均值回归的有利条件，并能有效调整其对标的期货指数的敞口，以相应地增加或减少；(4) 指数使用的标的波动率相关衡量指标，能够有效预测从一个日内窗口到下一个日内窗口的标的期货指数的未来波动率；以及(5) 指数的波动率目标将是一个有效的波动率水平，用于区分对标的期货指数的杠杆敞口和去杠杆敞口。如果这些假设被证明是一致正确的，那么该指数就有潜力通过以杠杆方式参与上涨和以去杠杆方式参与下跌来超越标的期货指数。然而，不能保证这些假设在任何特定时间段内都会被证明是正确的。如果这些假设中的任何一个没有被证明是一致正确的，那么由于在下跌时对标的期货指数具有高度杠杆敞口和/或在上涨时具有减少的敞口，该指数可能会表现不佳。

如果该指数在标的期货指数上涨之前未能持续增加对标的期货指数的敞口，并在标的期货指数下跌之前未能持续减少对标的期货指数的敞口，那么该指数也预计会受到“衰减”效应的影响，这将加剧由于对标的期货指数下跌的高杠杆敞口而导致的指数下跌。衰减效应将源于这样一个事实：该指数每天多次重新设定其对标的期货指数的敞口，并且当标的期货指数从一个日内窗口到下一个日内窗口向一个方向移动，然后从该后续日内窗口到下一个日内窗口向另一个方向移动时，这种衰减效应就会显现出来。衰减效应将产生于在上涨后重新设定敞口但又在下跌前重新设定敞口的情况，这会导致该指数对下跌具有更高的敞口，而在下跌后重新设定敞口但又在上涨前重新设定敞口的情况，这会导致该指数对上涨具有更低的敞口。这种情形重复得越多，该指数的表现相对于标的期货指数的表现就会越差。

重要的是要理解该指数提供的对S&P 500^®指数的敞口，其特点如下：

1. 可能被杠杆放大至500%，或者可能反映低于100%的参与度；

2. 会因隐含的融资成本而减少；

3. 可能会受到衰减效应的影响；

4. 会因名义成本而减少，而这些成本会随着该指数对标的期货指数敞口的调整频率和幅度的增加而增加；以及

5. 会因每年6%的减幅而减少。

由于这些特性，该指数可能会显著跑输标普500^®指数。如果该指数在标的期货指数上涨前未能持续增加对标的期货指数的敞口，或在标的期货指数下跌前未能持续减少对标的期货指数的敞口，该指数可能会显著跑输标普500^®指数。即使该指数在这些方面持续成功，该指数仍可能显著跑输标普500^®指数，这是由于隐含的融资成本、名义成本和减额，或者因为该指数在标的期货指数下跌时减少敞口，但仍可能反映出标的期货指数下跌的100%以上的参与度。

该指数的一些特性——包括其参考标的期货指数而非直接参考标普500^®指数、扣除名义成本以及每年6%的减额——旨在减少和/或抵消我们及我们的关联方在与证券相关的交易中打算进行的对冲交易的成本，与没有这些特性的其他可比指数相比。这些特性将使该指数的表现劣于没有这些特性的其他可比指数。对冲成本的减少和/或抵消可能会使某些证券条款比 otherwise 的情况更有利。然而，不能保证这些更有利的条款能够抵消这些特性对指数表现的负面影响。

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PS-4

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花旗全球市场控股公司

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该指数，以及您对证券的回报可能最终不如没有这些更有利条款但有不包含这些特性的指数的情况。

本部分仅对指数进行了简要描述，并未详细描述其所有重要特征。在投资证券之前，您应仔细查阅随附的指数补充文件中对指数的更详细描述。

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PS-5

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花旗全球市场控股公司

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自动提前赎回时的假设支付

以下表格说明了如果在最终估值日之前的任何估值日，标的物的收盘价大于或等于初始标的物价值，每只证券在自动提前赎回时的支付金额将如何计算。

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

\n 如果第一个收盘价大于或等于初始标的物价值的估值日是... \n	\n ...则您在自动提前赎回时每只证券将获得以下支付： \n
\n 2027年10月19日 \n	\n 1000.00美元 + 适用溢价 = 1000.00美元 + 210.00美元 = 1210.00美元 \n
\n 2027年11月16日 \n	\n 1000.00美元 + 适用溢价 = 1000.00美元 + 227.50美元 = 1227.50美元 \n
\n 2027年12月16日 \n	\n 1000.00美元 + 适用溢价 = 1000.00美元 + 245.00美元 = 1245.00美元 \n
\n 2028年1月18日 \n	\n 1000.00美元 + 适用溢价 = 1000.00美元 + 262.50美元 = 1262.50美元 \n
\n 2028年2月16日 \n	\n 1000.00美元 + 适用溢价 = 1000.00美元 + 280.00美元 = 1280.00美元 \n
\n 2028年3月16日 \n	\n 1000.00美元 + 适用溢价 = 1000.00美元 + 297.50美元 = 1297.50美元 \n
\n 2028年4月17日 \n	\n 1000.00美元 + 适用溢价 = 1000.00美元 + 315.00美元 = 1315.00美元 \n
\n 2028年5月16日 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $332.50 = $1,332.50 \n
\n June 16, 2028 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $350.00 = $1,350.00 \n
\n July 17, 2028 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $367.50 = $1,367.50 \n
\n August 16, 2028 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $385.00 = $1,385.00 \n
\n September 18, 2028 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $402.50 = $1,402.50 \n
\n October 16, 2028 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $420.00 = $1,420.00 \n
\n November 16, 2028 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $437.50 = $1,437.50 \n
\n December 18, 2028 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $455.00 = $1,455.00 \n
\n January 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $472.50 = $1,472.50 \n
\n February 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $490.00 = $1,490.00 \n
\n March 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $507.50 = $1,507.50 \n
\n April 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $525.00 = $1,525.00 \n
\n May 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $542.50 = $1,542.50 \n
\n June 18, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $560.00 = $1,560.00 \n
\n July 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $577.50 = $1,577.50 \n
\n August 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $595.00 = $1,595.00 \n
\n September 17, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $612.50 = $1,612.50 \n
\n October 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $630.00 = $1,630.00 \n
\n November 16, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $647.50 = $1,647.50 \n
\n December 17, 2029 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $665.00 = $1,665.00 \n
\n January 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $682.50 = $1,682.50 \n
\n February 19, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $700.00 = $1,700.00 \n
\n March 18, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $717.50 = $1,717.50 \n
\n April 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $735.00 = $1,735.00 \n
\n May 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $752.50 = $1,752.50 \n
\n June 17, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $770.00 = $1,770.00 \n
\n July 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $787.50 = $1,787.50 \n
\n August 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $805.00 = $1,805.00 \n
\n September 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $822.50 = $1,822.50 \n
\n October 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $840.00 = $1,840.00 \n
\n November 18, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $857.50 = $1,857.50 \n
\n December 16, 2030 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $875.00 = $1,875.00 \n
\n January 16, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $892.50 = $1,892.50 \n
\n February 18, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $910.00 = $1,910.00 \n
\n March 17, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $927.50 = $1,927.50 \n
\n April 16, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $945.00 = $1,945.00 \n
\n May 16, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $962.50 = $1,962.50 \n
\n June 16, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $980.00 = $1,980.00 \n
\n July 16, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $997.50 = $1,997.50 \n
\n August 18, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $1,015.00 = $2,015.00 \n
\n September 16, 2031 \n	\n $1,000.00 + 适用保费 = $1,000.00 + $1,032.50 = $2,032.50 \n

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PS-6

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花旗集团全球市场控股公司

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如果在最终估值日之前的任何估值日，标的资产的收盘价低于初始标的资产价值，您在该估值日之后将不会获得上述的溢价。为了获得上述溢价，适用估值日标的资产的收盘价必须大于或等于初始标的资产价值。

到期时的支付示意图

下图说明了证券到期时的支付情况，假设证券在此前未被自动赎回，针对一系列假设的标的资产收益情况。

证券的投资者不会因标的资产而获得任何股息。下面的示意图和示例未显示证券期限内可能损失的股息收益的影响。 请参见下方“摘要风险因素—您不会获得股息或对标的资产有任何其他权利”。

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\n 到期时的支付示意图 \n
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\n ◼ 证券 \n	\n ◼ 标的资产 \n

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PS-7

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花旗集团全球市场控股公司

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到期时支付的假设示例

以下示例旨在说明，如果证券在到期前未被自动赎回，您的到期支付将如何取决于最终标的资产价值。如果证券在到期前未被自动赎回，您每份证券的到期支付将取决于实际的最终标的资产价值。这些示例仅用于说明目的，不显示所有可能的结果，也不是对可能支付给证券的任何支付的预测。

以下示例基于以下假设值，并不反映实际的初始标的资产价值或最终缓冲值。有关实际的初始标的资产价值和最终缓冲值，请参见本定价补充文件的封面。我们使用这些假设值，而不是实际值，是为了简化计算并帮助理解证券的运作方式。然而，您应了解，证券的到期实际支付将基于实际的初始标的资产价值和最终缓冲值计算，而不是以下假设值。为便于分析，以下数字已四舍五入。

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\n 假设的初始标的资产价值： \n	\n 100.00 \n
\n 假设的最终缓冲值： \n	\n 85.00（假设初始标的资产价值的85.00%） \n

示例1—上行情景。 最终标的资产价值为305.00，导致标的资产回报率为205.00%。在此示例中，最终标的资产价值大于初始标的资产价值。

每份证券到期时的支付金额 = 1,000美元 + 适用于最终估值日的溢价

= $1,000 + $1,050.00

= $2,050.00

在此情景中，由于最终标的资产价值大于初始标的资产价值，您将在到期时获得证券的面值本金加上适用于最终估值日的溢价。在此示例中，适用于最终估值日的溢价小于标的资产回报率，导致证券的回报率明显低于您直接投资于标的资产可能获得的回报率。

示例 2—平价情景。 最终标的资产价值为 92.00，导致标的资产回报率为 -8.00%。在这个示例中，最终标的资产价值小于初始标的资产价值，但大于最终缓冲值。

到期时每份证券的支付金额 = 1,000 美元

在此情景中，标的资产从初始标的资产价值贬值到最终标的资产价值，但贬值幅度不超过缓冲百分比。因此，您将在到期时获得所持证券的约定本金金额，但不会获得任何正的投资回报。

示例 3—下行情景。 最终标的资产价值为 30.00，导致标的资产回报率为 -70.00%。在这个示例中，最终标的资产价值小于最终缓冲值。

到期时每份证券的支付金额 = 1,000 美元 + [$1,000 × (标的资产回报率 + 缓冲百分比)]

= 1,000 美元 + [$1,000 × (-70.00% + 15.00%)]

= 1,000 美元 + [$1,000 × -55.00%]

= $1,000 + -$550.00

= $450.00

在此情景中，标的资产从初始标的资产价值贬值到最终标的资产价值，贬值幅度超过了缓冲百分比。因此，在此情景中，您到期的总回报将是负数，并且会反映标的资产在缓冲百分比之外的负面表现的 1:1 投资敞口。

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PS-8

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花旗全球市场控股公司

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风险因素概要

投资于这些证券比投资于传统债务证券要风险大得多。这些证券受到与投资于我们传统债务证券（由花旗公司担保）相关的所有风险的影响，包括我们和花旗公司可能无法履行证券项下的义务的风险，同时也受到与标的资产相关的风险的影响。因此，这些证券仅适合能够理解这些证券的复杂性和风险的投资者。您应咨询自己的财务、税务和法律顾问，了解投资于这些证券的风险以及这些证券在您特定情况下的适用性。

以下是对这些证券投资者的一些关键风险因素的概要。您应将此概要与随附的产品补充文件中开始于 EA-6 页的“与证券相关的风险因素”部分中更详细的有关投资于这些证券的风险描述一起阅读。您还应仔细阅读随附的招股说明书补充文件中包含的风险因素，以及包含在随附招股说明书中的文件，包括花旗公司的最新年度报告 10-K 表格和任何后续的季度报告 10-Q 表格，这些文件更广泛地描述了与花旗公司业务相关的风险。

与证券相关的风险

■您可能会损失投资的很大一部分。 与传统债务证券不同，这些证券在所有情况下都不会在到期时偿还面值金额。如果证券在到期前没有自动赎回，您在到期时的付款将取决于最终的标的物价值。如果最终的标的物价值低于最终的缓冲值，这意味着标的物从初始标的物价值下跌超过了缓冲百分比，您每超过缓冲百分比1%就会损失证券面值金额的1%。

■证券的潜在回报是有限的。 您在证券上的潜在回报仅限于在自动提前赎回或到期时可支付的适用溢价，如本定价补充文件封面上所述。如果某个估值日的标的物收盘价大于或等于初始标的物价值，您将获得证券的面值金额，并将收到适用于该估值日的固定溢价，无论该估值日的标的物收盘价可能超过初始标的物价值多少。因此，任何溢价可能导致证券的回报显著低于您直接投资于标的物可能获得的回报。

■证券不支付利息。 与传统债务证券不同，证券在到期前不会支付利息。如果您在证券期限内寻求当前收入，请不要投资于证券。

■证券可能在到期前自动赎回，从而限制证券的期限。 如果任何估值日（最终估值日除外）的标的物收盘价大于或等于初始标的物价值，证券将被自动赎回。如果在最终估值日之前的任何估值日后证券被自动赎回，它们将不再流通，您将不会获得任何后续估值日适用的溢价。此外，您可能无法将资金重新投资于提供类似收益率且风险水平相似的其他投资。

■证券对标的物有下行风险，但没有上行风险。 在证券期限内，您不会参与标的物价值的任何增值。因此，您在证券上的回报仅限于在自动提前赎回或到期时可支付的适用溢价，可能显著低于证券期限内标的物的回报。

■您不会收到标的物的股息或享有任何其他权利。 您不会收到与标的物相关的任何股息。在证券期限内，这种损失的股息收益率可能是显著的。本定价补充文件中描述的支付情景并未显示在证券期限内损失的股息收益率的影响。此外，您不会享有与标的物或标的物中包含的股票相关的投票权或其他任何权利。

■证券的表现将仅取决于相关资产在定价日的收盘价，这使得证券对定价日或接近定价日的相关资产收盘价的波动特别敏感。 证券是否会在到期前自动赎回将取决于定价日（最终定价日除外）的相关资产收盘价，而与证券存续期内其他日期的相关资产收盘价无关。如果证券在到期前未被自动赎回，您在到期时收到的金额将仅取决于最终定价日的相关资产收盘价，而与证券存续期内的其他日期无关。由于证券的表现仅取决于有限日期的相关资产收盘价，因此证券对定价日或接近定价日的相关资产收盘价的波动将特别敏感。您应了解，相关资产的收盘价历史上波动性很高。

■证券受高盛全球市场控股公司和高盛公司的信用风险影响。 如果我们未能履行证券项下的义务，且高盛公司未能履行其担保义务，您可能无法获得证券项下应得的款项。

■证券不会在任何证券交易所上市，您可能无法在到期前出售证券。 证券不会在任何证券交易所上市。因此，证券可能几乎没有或根本没有二级市场。高盛全球市场控股公司目前计划为证券建立二级市场，并每日提供证券的参考出价。高盛全球市场控股公司提供的任何证券参考出价都将由高盛全球市场控股公司自行决定，考虑当时的市场状况和其他相关因素，且不会是高盛全球市场控股公司对证券可以按该价格或任何价格出售的陈述。高盛全球市场控股公司可能在任何时候因任何原因暂停或终止做市和提供参考出价而无需通知。如果高盛全球市场控股公司暂停或终止做市，由于高盛全球市场控股公司很可能是唯一愿意在到期前购买您的证券的经纪自营商，因此证券可能根本没有二级市场。因此，投资者必须做好准备，持有证券直至到期。

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将是在到期前愿意购买您的证券的唯一经纪自营商。因此，投资者必须做好准备，持有证券直至到期。

■根据CGMI的专有定价模型和我们内部资金利率，定价日证券的估计价值低于发行价格。 差额是由于与销售、结构设计和对冲证券相关的某些成本，这些成本包含在发行价格中。这些成本包括（i）与证券发行相关的任何销售让步或其他费用，（ii）我们及我们的关联方在证券发行过程中产生的对冲和其他成本，以及（iii）CGMI或其他我们关联方在对冲证券项下义务时的预期利润（可能高于或低于实际利润）。这些成本会对证券的经济条款产生不利影响，因为如果这些成本较低，证券的经济条款将对您更有利。证券的经济条款也可能会因使用我们的内部资金利率而非二级市场利率来定价而受到不利影响。详见下文“如果基于我们的二级市场利率计算，证券的估计价值会更低”。

■证券的估计价值是通过我们的关联方使用专有定价模型为我们确定的。 CGMI从其专有定价模型中得出本定价补充文件封面上披露的估计价值。在此过程中，它可能就模型的输入参数做出了酌情判断，例如标的资产收盘价的波动率、标的资产的股息收益率和利率。CGMI对这些输入参数的观点可能与您或其他人的观点不同，而且作为本次发行的承销商，CGMI的利益可能与您的利益发生冲突。模型及其输入参数可能被证明是错误的，因此不能准确反映证券的价值。此外，本定价补充文件封面上列示的证券估计价值可能与我们或我们的关联方为其他目的（包括会计目的）对证券确定的价值不同。你不应因为证券的估计价值而投资于证券。相反，你应该愿意持有证券至到期，无论初始估计价值如何。

■如果基于我们的二级市场利率计算，证券的估计价值会更低。 本定价补充文件中包含的证券估计价值是基于我们的内部资金利率计算的，这是我们通过发行证券借款的利率。我们的内部资金利率通常低于我们的二级市场利率，而二级市场利率是CGMI在确定从您处购买证券的二级市场价值时所使用的利率。如果本定价补充文件中包含的估计价值是基于我们的二级市场利率而非内部资金利率计算的，那么它很可能会更低。我们根据诸如与证券相关的成本（通常高于传统债务证券相关的成本）以及我们的流动性和偏好等因素来确定我们的内部资金利率。我们的内部资金利率并不是证券上应付的利率。

由于没有针对我们未偿债务义务的交易工具的活跃市场，CGMI根据花旗集团（我们的母公司和所有证券应付付款的担保人）的债务义务的交易工具的市场价格来确定我们的二级市场利率，但需经CGMI自行决定的调整。因此，我们的二级市场利率并不是衡量我们信用状况的市场决定因素，而是反映了市场对我们母公司信用状况的感知，同时考虑了CGMI自行决定的因素，例如CGMI在证券到期前购买证券的偏好。

■证券的估计价值并不代表CGMI或任何其他人可能在二级市场从您处购买证券的价格。 任何此类二级市场价格将在证券期限内根据下述风险因素中提到的市场和其他因素而波动。此外，与本定价补充文件中包含的估计价值不同，为二级市场交易目的而确定的证券价值将基于我们的二级市场利率，这可能会导致证券价值低于使用我们内部资金利率时的价值。此外，任何证券的二级市场价格都将因买卖价差而减少，该价差可能根据二级市场交易中拟购买的证券的总面值金额以及相关对冲交易的预期解约成本而有所不同。因此，证券的任何二级市场价格很可能低于发行价格。

■证券在到期前的价值将根据许多不可预测的因素而波动。 您的证券在到期前的价值将根据标的物的收盘价、标的物收盘价的波动性、标的物的股息收益率、一般利率、剩余到期时间以及我们和花旗集团的信用状况（反映在我们的二级市场利率中）等因素而波动，以及其他在随附的产品补充文件中“与证券相关的风险因素—与所有证券相关的风险因素—您的证券在到期前的价值将根据许多不可预测的因素而波动”部分所述的其他因素。标的物收盘价的变化可能不会导致您的证券价值出现相应的变化。您应了解，证券在到期前的任何时间的价值可能显著低于发行价格。

■发行后立即，CGMI提供的任何二级市场出价，以及CGMI或其关联方准备的任何经纪账户声明中显示的价值，将反映一个临时的上调。 这一临时上调的金额将在临时调整期内逐步下降至零。详见本定价补充文件中的“证券估值”。

■如果在证券有效期内发生重大修改事件，我们可能会提前赎回证券，赎回金额可能导致您投资出现重大损失。 有关可能构成重大修改事件的事件信息，请参见本定价补充文件中的“证券的附加条款—标普500期货40%盘中优势波动率TCA 6%递减指数（美元）ER的重大修改”。如果发生重大修改事件，我们可能会在到期日之前按提前赎回金额赎回证券，该金额是根据提前赎回通知日确定的。提前赎回金额将根据（但不一定与）CGMI当时同时期用于确定证券及类似工具的二级市场出价的惯例来确定，但须受以下“证券的附加条款—标普500期货40%盘中优势波动率TCA 6%递减指数（美元）ER的重大修改”中规定的例外情况和更详细的条款的约束。如上所述，任何二级市场出价很可能低于发行价格，且在没有市场条件和其他相关因素的有利变化的情况下，也很可能低于本定价补充文件封面中所述的证券的预估价值。因此，如果发生重大修改事件，您收到的提前赎回金额很可能导致您在证券上的投资出现损失。提前赎回金额可能显著低于如果您未选择赎回证券且您能够持有至到期日所能获得的金额。您可能会损失全部投资。

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，并且在没有市场条件和其他相关因素的有利变化的情况下，也可能会低于本定价补充文件封面中所述的证券的预估价值。因此，如果发生重大修改事件，您收到的提前赎回金额很可能导致您在证券上的投资出现损失。提前赎回金额可能显著低于如果您未选择赎回证券且您能够持有至到期日所能获得的金额。您可能会损失全部投资。

■计算代理可能就重大修改事件和提前赎回金额做出决定，这些决定可能对您提前赎回时的回报产生不利影响。 计算代理将被要求确定是否发生了重大修改事件。如果计算代理确定发生了重大修改事件，并因此我们选择在发生重大修改事件时赎回证券，您可能会在证券投资中遭受重大损失。此外，计算代理在确定提前赎回金额方面拥有广泛裁量权，包括在诚信和商业合理的基础上对专有定价模型和模型输入进行调整的能力。计算代理是我们关联方这一事实可能会导致其利益与您作为证券持有人的利益相冲突。根据证券条款，计算代理有权做出可能保护我们的经济利益但可能导致您在证券投资中出现重大损失的决定。

■我们提供的证券并不构成对标的资产的推荐。 我们提供证券并不意味着我们认为投资于与标的资产相关的工具可能会实现有利的回报。事实上，由于我们属于一家全球性金融机构，我们的关联方可能持有标的资产或与标的资产相关的工具的头寸（包括空头头寸），并且可能发布研究报告或表达观点，而这些观点在每种情况下都与投资于与标的资产相关的工具不一致。这些以及其他关联方的活动可能以影响标的资产收盘价的方式，从而对证券的价值和您的回报产生负面影响。

■标的资产的收盘价可能因我们或我们的关联方的对冲和其他交易活动而受到不利影响。 我们通过CGMI或其他关联方对证券项下的义务进行了对冲，这些关联方已在标的资产或与标的资产相关的金融工具中建立了头寸，并可能在证券期限内调整这些头寸。我们的关联方还经常在标的资产或与标的资产相关的金融工具中建立头寸（包括多头头寸、空头头寸或两者兼有），用于其自身账户、其管理的其他账户或为客户交易而进行的交易。这些活动可能以影响标的资产收盘价的方式，从而对证券的价值和您的回报产生负面影响。它们也可能导致我们或我们的关联方获得巨额收益，而证券的价值却在下降。

■由于我们关联方的业务活动，我们和我们的关联方可能拥有与您相冲突的经济利益。 我们的关联方与各种公司开展业务活动，这些活动包括提供贷款、进行和促成投资、承销证券发行以及提供咨询服务。这些活动可能以影响标的资产的方式，从而对证券的价值和您的回报产生负面影响。它们也可能导致我们或我们的关联方获得巨额收益，而证券的价值却在下降。此外，在此业务过程中，我们或我们的关联方可能获得非公开信息，这些信息不会向您披露。

■作为我们关联方的计算代理人，将就证券做出重要决定。 如果在证券期限内发生某些事件，例如市场中断事件和其他与标的资产有关的事件，CGMI作为计算代理人将需要做出可能显著影响您证券回报的自由裁量判断。在做出这些判断时，计算代理人作为我们关联方的利益可能与您作为证券持有人的利益相冲突。有关更多信息，请参见随附的产品补充文件中的“与证券相关的风险因素—所有证券相关的风险因素—作为我们关联方的计算代理人将就证券做出重要决定”。

■投资证券的美国联邦税务后果尚不明确。 关于证券的适当美国联邦税务处理方式，目前没有直接的法律依据，我们也不计划向美国国税局（“IRS”）申请裁定。因此，证券税务处理的许多方面存在不确定性，IRS 或法院可能不会同意将证券视为预付远期合约的处理方式。如果 IRS 能成功主张证券的替代处理方式，那么证券的所有权和处置的税务后果可能会受到重大且不利的影响。此外，未来的立法、财政部法规或 IRS 指南可能会对证券的美国联邦税务处理产生不利影响，可能具有追溯效力。

如果您是非美国投资者，请查阅下文“美国联邦税务考虑事项—非美国持有人”中关于预提税问题的讨论。

您应仔细阅读随附产品补充文件中的“美国联邦税务考虑事项”和“与证券相关的风险因素”部分，以及本定价补充文件中的“美国联邦税务考虑事项”。您还应咨询您的税务顾问，了解投资证券的美国联邦税务后果，以及根据任何州、地方或非美国征税管辖区法律产生的税务后果。

与标普 500 期货 40% 盘中优势波动率 TCA 6% 减量指数（美元）ER 相关的风险

以下是对与标普 500 期货 40% 盘中优势波动率 TCA 6% 减量指数（美元）ER 相关的风险的描述，我们在本节中将其称为“指数”。以下的风险讨论应与随附指数补充文件中的“标普 500 期货盘中优势波动率指数的描述”部分一起阅读，该部分定义并进一步描述了以下提到的若干术语和概念。

■该指数风险很高，因为它可能反映出对基础期货指数的高度杠杆敞口，因此可能会出现比基础期货指数跌幅大数倍的跌幅。 该指数跟踪对标普 500 的敞口，

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500 期货超额收益指数（我们称之为“基础期货指数”）在波动率目标化、趋势调整基础上，扣除某些名义成本，并扣除每年6%的减量。该指数的波动率目标为40%，当基础期货指数的波动率低于波动率目标时，它会通过对其基础期货指数头寸应用杠杆（最高可达500%）来尝试实现这一目标，而当基础期货指数的波动率高于波动率目标时，它会将其对基础期货指数的头寸减少到100%以下。预计基础期货指数的波动率将经常低于波动率目标，因此预计该指数将经常对基础期货指数具有杠杆（超过100%）头寸。如果基础期货指数在该指数对其具有杠杆头寸时下跌，该指数的下跌幅度将等于基础期货指数的下跌幅度乘以杠杆头寸（由于名义成本和减量的影响，可能会进一步减少）。例如，如果基础期货指数在该指数对其具有500%杠杆头寸时下跌5%，那么该指数在该段时间内将下跌25%（由于名义成本和减量的影响，可能会进一步减少）。这种在高度杠杆基础上的损失可能性使该指数具有高度风险。

■如果该指数不能在基础期货指数上涨前持续增加对基础期货指数的头寸，或在基础期货指数下跌前持续减少对基础期货指数的头寸，该指数可能会实现重大损失。该指数的方法论基于以下关键假设：(1) 业绩与波动率之间存在反向关系，因此基础期货指数在波动率较低时往往会增加，在波动率较高时往往会下降；(2) 基础期货指数价值的短期日内趋势往往会持续；(3) 该指数规则可以有效识别基础期货指数出现隔夜均值回归的有利条件，并能有效根据情况调整其对基础期货指数的头寸，向上或向下调整；(4) 该指数使用的基础波动率衡量指标能够有效预测从一个日内窗口到下一个日内窗口的基础期货指数未来波动率；以及(5) 40%将是划分对基础期货指数的杠杆头寸和去杠杆头寸的适当波动率水平。不能保证这些假设在任何给定的时间段内都会被证明是正确的。如果这些假设中的任何一个未能持续正确，那么由于在下跌时对该基础期货指数具有高度杠杆头寸和/或在上涨时对该基础期货指数具有减少头寸，该指数可能会表现不佳。

■指数的相当一部分可能是假设未投资的，这会降低收益。 如果在任何时间点，过去40个指数交易日的临时指数实际波动率超过指数的波动率目标，指数对临时指数的敞口将低于100%，差额将被假设为未投资。因此，即使在临时指数对基础期货指数的敞口显著超过100%的时候，指数对临时指数的敞口可能显著低于100%，从而减弱临时指数对基础期货指数的杠杆敞口对指数的影响。此外，当基础波动率大于波动率目标时，临时指数对基础期货指数的波动率目标敞口将低于100%。即使在临时指数对基础期货指数的波动率目标敞口大于100%的时候，临时指数对基础期货指数的实际敞口可能由于日内趋势和/或隔夜均值回归趋势的调整而被降低至100%以下。综合来看，这些机制可能导致指数参与的基础期货指数的表现不足100%，差额被视为假设未投资。指数的任何部分（包括临时指数）中假设未投资的部分不会产生利息或其他收益，这会降低指数收益，但减少的金额将根据整个指数价值计算。如果在任何时间点，指数对基础期货指数的有效敞口不足100%，指数将不会完全参与基础期货指数的增值。例如，如果在基础期货指数增值5%的时候，指数对基础期货指数的敞口为50%，那么指数将仅增值2.5%（在考虑名义成本和减少额之前）。

■The Index may significantly underperform the S&P 500^® Index. It is important to understand that the Index provides exposure to the S&P 500^® Index that: (1) may be leveraged up to 500%, or alternatively may reflect less than 100% participation; (2) is reduced by an implicit financing cost; (3) may be subject to a decay effect; (4) is reduced by notional costs; and (5) is reduced by a decrement of 6% per annum. As a result of these features, the Index may significantly underperform the S&P 500^® Index. The Index is likely to significantly underperform the S&P 500^® Index if it is not consistently successful in increasing exposure to the Underlying Futures Index in advance of increases in the Underlying Futures Index and reducing exposure to the Underlying Futures Index in advance of declines in the Underlying Futures Index. The Index may significantly underperform the S&P 500^® Index even if it is consistently successful in these respects because of the implicit financing cost, the notional costs and the decrement, or because the reduced exposure the Index has to the Underlying Futures Index at a time of a decline may nevertheless reflect significantly greater than 100% participation in the decline of the Underlying Futures Index.

■The Index may experience significantly greater volatility than its volatility target. The Index seeks to implement its volatility target in two steps. First, the Interim Index determines a volatility-targeted exposure to the Underlying Futures Index for each intraday window in a manner that seeks to align the volatility of the Interim Index with the volatility target. Second, the Index adjusts its exposure to the Interim Index daily pursuant to an end-of-day volatility target adjustment. Despite these steps, the Index may experience significantly greater volatility than its volatility target for a number of reasons. The Interim Index determines its exposure to the Underlying Futures Index based not only on the volatility-targeted exposure, but also on intraday trend and overnight mean-reversion trend inputs. Those inputs may result in the exposure of the Interim Index to the Underlying Futures Index being increased to a level that is significantly higher than the volatility-targeted exposure, and the Interim Index may experience significantly more volatility than the volatility target as a result. Moreover, although the end-of-day volatility target adjustment is intended to reduce the exposure of the Index to the Interim Index to counteract this, the end-of-day volatility target adjustment is based on the realized volatility of the Interim Index over a look-back period of 40 index business days. If there is a significant increase in the volatility of the Interim Index, it may be a significant period of time before that increased volatility is meaningfully reflected in the 40-day lookback period. If the Index experiences significantly greater volatility than its volatility target, it may be riskier than expected and may experience a significantly greater decline than it would have if it had maintained its volatility target.

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PS-12

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■The Index’s intraday trend-following mechanism may not be effective. The Index incorporates a trend-following mechanism, in which it will scale the volatility-targeted exposure of the Interim Index to the Underlying Futures Index up or down depending on a measure of the intraday trend of the Underlying Futures Index. Trend-following methodologies such as the one followed by the Index are premised on the notion that equity markets exhibit momentum, whereby recent performance is predictive of future performance. Trend-following methodologies perform poorly, however, when this turns out not to be the case. There can be no guarantee that recent performance will be predictive of future performance. Trend-following methodologies perform particularly poorly in choppy markets, where they can be subject to whipsaws – increasing exposure following a recent increase and just in time to participate on a higher-exposure basis in a decline that follows the increase, at which point they decrease exposure following the decline and just when the underlying market begins to increase again. Moreover, even if the Underlying Futures Index does exhibit trend-following behavior, there can be no assurance that the particular methodology followed by the Index will effectively identify the trend or capitalize on it. If the Underlying Futures Index does not exhibit momentum, or if the Index’s intraday trend-following methodology is not effective in identifying trends and capitalizing on them, the Index’s trend-following mechanism may result in scaling up the exposure to the Underlying Futures Index ahead of declines, and scaling down exposure ahead of increases, which would result in poor performance.

■The Index’s overnight mean-reversion mechanism may not be effective. The Index incorporates an overnight mean-reversion mechanism, in which it will adjust the trend-adjusted, volatility-targeted exposure to the Underlying Futures Index upward at the fourth intraday window at any time when it determines that conditions are favorable for a positive overnight mean-reversion, and will adjust that exposure downward at any time when it determines that conditions are favorable for a negative overnight mean-reversion. The Index’s overnight mean-reversion mechanism is premised on the assumption that equity markets may at times exhibit a tendency to revert to a longer term mean (on an overnight basis) after a short-term dip, and the Index seeks to capitalize on that tendency by identifying a time when a short-term dip has occurred and when the equity markets are due for a positive mean-reversion and increasing exposure to the Underlying Futures Index accordingly at the fourth intraday window. There can be no assurance, however, that the Underlying Futures Index will exhibit mean-reversion behavior when the Index expects it to do so, or at all. Even if the Underlying Futures Index does exhibit mean-reversion behavior, the particular methodology of the Index may fail to accurately identify when it will do so or may fail to capitalize on that. If the Underlying Futures Index does not exhibit mean-reversion behavior when the Index expects it to do so, the Index may increase its exposure to the Underlying Futures Index in a falling market that may continue to fall long after the Index has increased exposure, worsening Index returns as a result. Conversely, if the Underlying Futures Index does exhibit mean-reversion behavior when the Index does not expect it to, the Index will have reduced its exposure to the Underlying Futures Index at a time when the Underlying Futures Index has rebounded from the short-term dip, which will cause Index performance to be less favorable than it would have been if it had not tried to time the mean-reversion.

■The Index may perform poorly in temporary market downturns. There is a time lag inherent in the Index’s volatility targeting mechanisms. Unless the VIX signal is 1, the Interim Index will determine its volatility-targeted exposure to the Underlying Futures Index based on a backward-looking measure of realized volatility of the Underlying Futures Index. Similarly, the Index will apply its end-of-day volatility target adjustment to its exposure to the Interim Index based on a backward-looking measure of realized volatility of the Interim Index. If there is a sudden spike in volatility and a corresponding sharp decline in the Underlying Futures Index, the Index may have a relatively high degree of exposure to the Underlying Futures Index at the time of the decline and may therefore have a high degree of exposure to that decline. The Index may subsequently reduce its exposure to the Underlying Futures Index once the increased volatility has been sufficiently reflected in the Index’s realized volatility measures, but by then the Underlying Futures Index may have already stopped its decline and started to recover. Given the time lag, the Index may not increase its exposure to the Underlying Futures Index until well after the recovery has already taken place. Taken together, these factors may cause the Index to perform particularly poorly in a temporary market downturn – a sudden significant decline that is quickly reversed. In that scenario, the Index would participate on a highly leveraged basis in the decline and then fail to participate fully in the recovery.

■The Index may be adversely affected by a “decay” effect. If the Index is not consistently successful in increasing exposure to the Underlying Futures Index in advance of increases in the Underlying Futures Index and reducing exposure to the Underlying Futures Index in advance of declines in the Underlying Futures Index, then the Index is also expected to be subject to a “decay” effect, which will exacerbate the decline that results from having highly leveraged exposure to declines in the Underlying Futures Index. The decay effect would result from the fact that the Index resets its exposure to the Underlying Futures Index multiple times each index business day, and would manifest any time the Underlying Futures Index moves in one direction from one intraday window to the next and another direction from that subsequent intraday window to the next after that. The decay effect would result because resetting exposure after an increase but in advance of a decline would cause the Index to have increased exposure to that decline, and resetting exposure following a decline but in advance of an increase would cause the Index to have decreased exposure to that increase. The more this fact pattern repeats, the lower the performance of the Index would be relative to the performance of the Underlying Futures Index.

■The Underlying Futures Index is expected to underperform the S&P 500^® Index because of an implicit financing cost. The Underlying Futures Index is a futures-based index. As a futures-based index, it is expected to reflect not only the performance of its reference index (the S&P 500^® Index), but also the implicit cost of a financed position in that reference index. The cost of this financed position will adversely affect the value of the Underlying Futures Index. Any increase in market interest rates will be expected to further increase this implicit financing cost and will increase the negative effect on the performance of the Underlying Futures Index. Because of this implicit financing cost, the Underlying Futures Index is expected to underperform the total return performance of the S&P 500^® Index.

■The performance of the Index will be reduced by notional costs and by a decrement of 6% per annum. Two types of notional costs are deducted from the performance of the Index. Notional transaction costs are deducted each time there is a change in the exposure of the Interim Index to the Underlying Futures Index or in the exposure of the Index to the Interim Index. Changes in the exposure may occur as often as five times a day – during each of the four intraday windows, and again pursuant to the end-of-day volatility target adjustment. The more frequent the changes in exposure and the larger the changes are in size, the greater the amount of the notional transaction costs. In addition to the notional transaction costs, notional replication costs are deducted on a daily basis from the level of the Interim Index. The greater the exposure of the Interim Index to the Underlying Futures Index, the greater the size of the notional

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PS-13

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replication costs. Moreover, the performance of the Index will be reduced by a decrement of 6% per annum, which will be calculated on the full value of the Index, including any portion that is hypothetically uninvested. The notional costs and the decrement will be a significant drag on the performance of the Index, potentially offsetting positive returns that would otherwise result from the Index methodology, exacerbating negative returns of the Index methodology and causing the level of the Index to decline steadily if the return of the Index methodology would otherwise be relatively flat. The Index will not appreciate unless the return of the Index methodology is sufficient to offset the negative effects of the notional costs and the decrement, and then only to the extent that the return of the Index methodology is greater than the notional costs and the decrement. As a result of the notional costs and the decrement, the level of the Index may decline even if the return of the Index methodology would otherwise have been positive.

■The decrement of 6% per annum may reduce the annual return of the Index by more (and possibly significantly more) than 6%. The decrement is deducted from the level of the Index on each index business day at a rate of 6% per annum. Higher levels of the Index over any given period will therefore result in larger deductions. Moreover, while the decrement will reduce the level of the Index at a rate equal to 6% per annum, the effect of the decrement on the return of the Index over an annual period is likely to be greater, and may be significantly greater, than 6% if the level of the Index has appreciated over that annual period. For example, if the level of the Index before giving effect to the decrement were to increase from 100 to 150 over an annual period, the level of the Index after giving effect to the decrement might be 141, which is 6% less than 150. In this scenario, the return of the Index before giving effect to the decrement would have been 50%, while the return of the Index after giving effect to the decrement would have been 41% -- resulting in a return of the Index over this annual period that is 9% lower than it would have been before giving effect to the decrement. This example is not intended to be a prediction of the performance of the Index over any given period – it is solely intended to illustrate how the impact of the decrement on the return of the Index may be significantly greater than 6% per annum. These effects will be even greater over periods longer than one year.

■The negative impact of notional costs on the annual return of the Index may be greater than the absolute amount by which notional costs reduce the level of the Index. Notional costs will negatively affect the annual return of the Index in the same way that the decrement does, as described in the preceding risk factor. Notional costs are deducted from the level of the Index or the Interim Index and, as a result, higher levels of the Index or the Interim Index will result in larger deductions. Moreover, as with the decrement and in the same manner described in the preceding risk factor, if the Index or the Interim Index appreciates over any annual period, notional costs will negatively impact the annual return of the Index over that period by more than the percentage that is deducted from the level of the Index or the Interim Index. The hypothetical back-tested and historical information regarding the impact of notional costs on the performance of the Index that is included in this pricing supplement reflects the impact of notional costs on the level of the Index – if these costs were expressed in terms of the impact on the annual return over any period over which the Index has appreciated, they would be greater.

■The manner in which the Index measures underlying volatility may not be effective. The Index will measure the underlying volatility on a given index business day based on implied volatility if the VIX signal on the preceding index business day was 1, and based on realized volatility if the VIX signal on the preceding index business day was 0. The VIX signal will be 1 when the level of the Cboe Volatility Index (the “VIX”) has exceeded its 200-day moving average for more than 6 consecutive index business days, and will be 0 when the level of the VIX has been less than or equal to its 200-day moving average for more than 3 consecutive index business days (and otherwise will be the same as on the preceding index business day). The VIX is a measure of implied volatility of large-cap U.S. stocks over the next 30 days, calculated based on the prices of certain put and call options on the S&P 500^® Index. As a result, the Index is designed to use the forward-looking implied volatility measurement at a time when implied volatility (as reflected in the VIX) is relatively elevated, and to use the backward-looking realized volatility measurement at a time of relatively lower implied volatility.

This approach to determining the underlying volatility is premised on the notion that forward-looking implied volatility tends to be higher than backward-looking realized volatility because of a risk premium embedded in the options used to calculate forward-looking implied volatility. Therefore, the use of forward-looking implied volatility at a time of relatively elevated implied volatility (as reflected in the VIX) is intended to use the volatility measure that is expected to be the higher of the two, with the result that the exposure to the Underlying Futures Index will be lower than if the other measure were used at a time of relatively elevated implied volatility. This is premised on the assumption that there is an inverse relationship between performance and volatility, so that the Index will benefit from reduced exposure to the Underlying Futures Index at a time of higher volatility. As described elsewhere, however, there can be no assurance that this relationship will hold over any particular time period, and the Index might have performed better if it did not adjust its measure of underlying volatility in this manner.

■The Index has limited actual performance information. The Index launched on August 14, 2025. Accordingly, the Index has limited actual performance data. Because the Index is of recent origin with limited performance history, an investment linked to the Index may involve a greater risk than an investment linked to one or more indices with an established record of performance. A longer history of actual performance may have provided more reliable information on which to assess the validity of the Index’s methodology. However, any historical performance of the Index is not an indication of how the Index will perform in the future.

■Hypothetical back-tested Index performance information is subject to significant limitations. All information regarding the performance of the Index prior to August 14, 2025 is hypothetical and back-tested, as the Index did not exist prior to that time. It is important to understand that hypothetical back-tested Index performance information is subject to significant limitations, in addition to the fact that past performance is never a guarantee of future performance. In particular:

■The sponsor of the Index developed the rules of the Index with the benefit of hindsight—that is, with the benefit of being able to evaluate how the Index rules would have caused the Index to perform had it existed during the hypothetical back-tested period. The fact that the Index generally appreciated over any portion of the hypothetical back-tested period may not therefore be an accurate or reliable indication of any fundamental aspect of the Index methodology.

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■The hypothetical back-tested performance of the Index might look different if it covered a different historical period. The market conditions that existed during the historical period covered by the hypothetical back-tested Index performance information are not necessarily representative of the market conditions that will exist in the future.

■SPXW options were not published as frequently prior to May 11, 2022 as they are now, and as a result the calculation of the hypothetical back-tested values of the Index prior to that date differs from the calculation of the Index today. The hypothetical back-tested performance of the Index prior to May 11, 2022 may therefore differ from how the Index would have performed if SPXW options had been available with expirations on every weekday, as they are now.

It is impossible to predict whether the Index will rise or fall. The actual future performance of the Index may bear no relation to the historical or hypothetical back-tested levels of the Index.

■An affiliate of ours participated in the development of the Index. CGMI worked with the sponsor of the Index in developing the guidelines and policies governing the composition and calculation of the Index, and in that role made judgments and determinations about the Index methodology. Although CGMI no longer has a role in making any judgments and determinations relating to the Index, the judgments and determinations previously made by CGMI could continue to have an impact, positive or negative, on the level of the Index and the value of your securities. CGMI was under no obligation to consider your interests as an investor in the securities in its role in developing the guidelines and policies governing the Index.

■Changes that affect the Index may affect the value of your securities. The sponsor of the Index may at any time make methodological changes or other changes in the manner in which it operates that could affect the value of the Index. We are not affiliated with the Index sponsor and, accordingly, we have no control over any changes such sponsor may make. Such changes could adversely affect the performance of the Index and the value of and your return on the securities.

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Additional Terms of the Securities

Market disruption events. For purposes of determining whether a market disruption event occurs with respect to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, each reference to the “Underlying Index” in the section “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Definitions of Market Disruption Event and Scheduled Trading Day and Related Definitions” in the accompanying product supplement in the definition of Market Disruption Event (and defined terms used in the definition of Market Disruption Event) shall be deemed replaced with a reference to the “Underlying Index, the S&P 500 Futures Excess Return Index or the S&P 500^® Index”. References in the section “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Definitions of Market Disruption Event and Scheduled Trading Day and Related Definitions” in the accompanying product supplement to the securities comprising an Underlying Index (or any other index) shall be deemed to include futures contracts comprising an Underlying Index (or any other index), and each reference to “at any time during the one-hour period that ends at the Closing Time” shall be deemed to be replaced by a reference to “at any time during the trading day”.

Material modification of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER. If the sponsor of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER announces that it will make, or that it will undertake a consultation with respect to, a material change in the formula for or the method of calculating the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER or any other material modification of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER (other than a modification prescribed in that formula or method to maintain the index in the event of changes in constituent stock and capitalization and other routine events) (any such announcement, a “material modification event”), then the issuer may, at its option, direct the calculation agent to calculate the closing level of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER on each date of determination after the effective date of such change in accordance with the formula for and method of calculating the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER last in effect prior to the change. Such level, as calculated by the calculation agent, will be the closing value of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER for all purposes. The terms set forth in this paragraph supersede the terms set forth in the accompanying product supplement with respect to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER to the extent they are inconsistent with such terms. For purposes of determining whether there has been a material modification to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, a material modification to the S&P 500 Futures Excess Return Index or the S&P 500^® Index shall be treated as though it were a material modification to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER. Furthermore, any modification to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER will be treated as a material modification unless made under the following circumstances: (i) to exercise routine judgment in the administration of the rules, provided that such routine judgment will not include deviations or alterations to the rules designed to improve the financial performance of the index; (ii) to correct errors in implementation of the rules or calculations made pursuant to the rules; or (iii) to make an adjustment to respond to an unanticipated event outside of the control of the sponsor of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, such as a stock split, merger, listing or delisting, nationalization, or insolvency of a component of the index, a disruption in the financial markets for specific assets or in a particular jurisdiction, regulatory compliance requirement, force majeure or any other unanticipated event of similar magnitude and significance.

If, on any day during the term of the securities, the calculation agent determines that a material modification event has occurred, we will have the right, but not the obligation, to redeem the securities, in whole and not in part, by providing written notice of our election to exercise that right to the trustee (the date of such notice, the “early redemption notice date”) on a redemption date of our election that is no later than the 30th business day immediately following the early redemption notice date or earlier than the fifth business day following the early redemption notice date. A material modification event need not be continuing on the early redemption notice date or on the redemption date. The amount due and payable on the securities upon such redemption will be equal to the early redemption amount determined as of the early redemption notice date.

The “early redemption amount” will be the fair value of the securities determined by the calculation agent as of the early redemption notice date in good faith and in a manner based upon (but not necessarily identical to) CGMI’s then contemporaneous practices for determining a secondary market bid price for the securities and similar instruments. In determining the early redemption amount, the calculation agent may take into account proprietary pricing models and may make adjustments to those models or inputs to those models in good faith and in a commercially reasonable manner. The calculation agent may also take into account other facts, whether or not unique to us or our affiliates, in determining the early redemption amount so long as it is in good faith and commercially reasonable. The early redemption amount may result in a significant loss on your securities. See “Summary Risk Factors—If a material modification event occurs during the term of the securities, we may redeem the securities early for an amount that may result in a significant loss on your investment” in this pricing supplement.

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PS-16

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Hypothetical Back-Tested and Historical Performance Information

This section contains hypothetical back-tested performance information for the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER calculated by S&P Dow Jones Indices LLC. All S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER performance information prior to August 14, 2025 is hypothetical and back-tested, as the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER did not exist prior to that date. Hypothetical back-tested performance information is subject to significant limitations. The sponsor of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER developed the rules of the index with the benefit of hindsight—that is, with the benefit of being able to evaluate how the rules would have caused the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER to perform had it existed during the hypothetical back-tested period. The fact that the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER appreciated at any time during the hypothetical back-tested period may not therefore be an accurate or reliable indication of any fundamental aspect of the index methodology. Furthermore, the hypothetical back-tested performance of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER might look different if it covered a different historical period. The market conditions that existed during the hypothetical back-tested period may not be representative of market conditions that will exist in the future.

In addition, the SPXW options used by the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER to determine the implied volatility of the S&P 500^® Index have traded with expirations on every weekday only since May 11, 2022. When SPXW options were first launched in 2005, only Friday expirations were available. Wednesday expirations were added on February 23, 2016; Monday expirations were added on August 15, 2016; Tuesday expirations were added on April 18, 2022; and Thursday expirations were added on May 11, 2022. For purposes of calculating the hypothetical back-tested performance of the Index, the implied volatility for the one-week period ending on a weekday for which no SPXW option was then traded was calculated by interpolating between the SPXW options expiring immediately before and immediately after that weekday. For these reasons, the hypothetical back-tested performance of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER prior to May 11, 2022 may differ from how the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER would have performed if SPXW options had been available with expirations on every weekday, as they are now.

It is impossible to predict whether the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER will rise or fall. By providing the hypothetical back-tested and historical performance information below, we are not representing that the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER is likely to achieve gains or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular investment. One of the limitations of hypothetical performance information is that it did not involve financial risk and cannot account for all factors that would affect actual performance. The actual future performance of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER may bear no relation to its hypothetical back-tested or historical performance.

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Historical Information

The closing value of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER on October 16, 2026 was 9,066.87.

The graph below shows the hypothetical back-tested closing values of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER for the period from January 4, 2016 to August 13, 2025, and historical closing values of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER for the period from August 14, 2025 to October 16, 2026. All data to the left of the vertical red line in the graph below are hypothetical and back-tested. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take the hypothetical back-tested and historical values of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER as an indication of future performance.

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S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER – Hypothetical Back-Tested and Historical Closing Values
January 4, 2016 to October 16, 2026

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PS-18

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Citigroup Global Markets Holdings Inc.

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Comparison of Hypothetical Back-Tested and Historical S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER Performance Against Historical S&P 500^® Index Performance

The following graphs set forth a comparison of the hypothetical back-tested and historical performance of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER against the historical performance of the S&P 500^® Index. The first graph shows comparative performance data for the period from January 4, 2016 through October 16, 2026, each normalized to have a closing value of 100.00 on January 4, 2016 to facilitate a comparison. The second graph shows comparative performance data for the period from January 3, 2022 through October 16, 2026, each normalized to have a closing value of 100.00 on January 3, 2022 to facilitate a comparison. The performance of the S&P 500^® Index shown below is its price return performance – i.e., its performance without reflecting dividends. The total return performance of the S&P 500^® Index (i.e., its performance reflecting dividends) would be greater than the price return performance shown below. All S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER performance information prior to August 14, 2025 is hypothetical and back-tested, as the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER did not exist prior to that date. Hypothetical back-tested performance information is subject to the significant limitations described above under “Information About the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER”.

In the graphs below, references to “SPXI4EV6” are to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER and references to “SPX” are to the S&P 500^® Index.

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PS-19

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Citigroup Global Markets Holdings Inc.

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PAST PERFORMANCE OF THE S&P 500 FUTURES 40% INTRADAY EDGE VOLATILITY TCA 6% DECREMENT INDEX (USD) ER AND RELATIVE PERFORMANCE BETWEEN THE S&P 500 FUTURES 40% INTRADAY EDGE VOLATILITY TCA 6% DECREMENT INDEX (USD) ER AND THE S&P 500^® INDEX ARE NOT INDICATIVE OF FUTURE PERFORMANCE

Using the hypothetical back-tested and historical performance information from the graphs above, the table below shows the annualized (annually compounded) performance of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER as compared to the S&P 500^® Index for the last year, the last three years and the last five years, each as of October 16, 2026.

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\n \n	\n S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER \n	\n S&P 500^® Index \n
\n Last 1 Year \n	\n -3.56% \n	\n 15.54% \n
\n Last 3 Years \n	\n 35.16% \n	\n 20.52% \n
\n Last 5 Years \n	\n 13.76% \n	\n 11.35% \n

The table below indicates the negative impact of the notional costs on the performance of the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER based on the hypothetical back-tested and historical information from the graphs above. In the future, the negative impact of these notional costs may be greater, and perhaps significantly greater, than the values set forth below.

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\n \n	\n Average per annum \n	\n Maximum amount over any annual period \n
\n Notional costs \n	\n 1.92% \n	\n 2.71% \n

Comparison of Historical S&P 500 Futures Excess Return Index Performance Against Historical S&P 500^® Index Performance

To illustrate the historical impact of the implicit financing cost on the performance of the S&P 500 Futures Excess Return Index, the following graph sets forth a comparison of the historical performance of the S&P 500 Futures Excess Return Index against the historical performance of the S&P 500^® Index from January 4, 2016 through October 16, 2026, each normalized to have a closing value of 100.00 on January 4, 2016 to facilitate a comparison. The performance of the S&P 500^® Index shown below is its price return performance – i.e., its performance without reflecting dividends. The total return performance of the S&P 500^® Index (i.e., its performance reflecting dividends) would be greater than the price return performance shown below.

In the graph below, references to “SPXFP” are to the S&P 500 Futures Excess Return Index and references to “SPX” are to the S&P 500^® Index.

PAST PERFORMANCE OF THE S&P 500 FUTURES EXCESS RETURN INDEX AND RELATIVE PERFORMANCE BETWEEN THE S&P 500 FUTURES EXCESS RETURN INDEX AND THE S&P 500^® INDEX ARE NOT INDICATIVE OF FUTURE PERFORMANCE

Using the historical performance information from the graph above, the table below shows the annualized (annually compounded) performance of the S&P 500 Futures Excess Return Index as compared to the S&P 500^® Index for the last year, the last three years and the last five years, each as of October 16, 2026.

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\n \n	\n S&P 500 Futures Excess Return Index \n	\n S&P 500^® Index \n
\n Last 1 Year \n	\n 11.73% \n	\n 15.54% \n
\n Last 3 Years \n	\n 15.86% \n	\n 20.52% \n
\n Last 5 Years \n	\n 8.08% \n	\n 11.35% \n

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PS-20

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Citigroup Global Markets Holdings Inc.

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United States Federal Tax Considerations

You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and “Summary Risk Factors” in this pricing supplement.

In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.

Assuming this treatment of the securities is respected and subject to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal income tax consequences should result under current law:

●You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.

●Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss if you held the security for more than one year.

We do not plan to request a ruling from the IRS regarding the treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.

Non-U.S. Holders. Subject to the discussions below and in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.

As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2029 that do not have a “delta” of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m).

A determination that the securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities.

If withholding tax applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.

You should read the section entitled “United States Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.

You should also consult your tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

Supplemental Plan of Distribution

CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $45.00 for each security sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers, as described in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable selling concession of up to $45.00 for each security they sell. For the avoidance of doubt, any fees or selling concessions described in this pricing supplement will not be rebated if the securities are automatically redeemed prior to maturity.

See “Plan of Distribution; Conflicts of Interest” in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus for additional information.

Valuation of the Securities

CGMI calculated the estimated value of the securities set forth on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more

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PS-21

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Citigroup Global Markets Holdings Inc.

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derivative instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.

For a period of approximately four months following issuance of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the four-month temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”

Validity of the Securities

In the opinion of Davis Polk & Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (x) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (y) the validity, legally binding effect or enforceability of any provision that permits holders to collect any portion of the stated principal amount upon acceleration of the securities to the extent determined to constitute unearned interest. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York and the General Corporation Law of the State of Delaware, except that such counsel expresses no opinion as to (i) any law, rule or regulation that is applicable to Citigroup Global Markets Holdings Inc. or Citigroup Inc., the indenture, the securities, the related guarantee (together with the indenture and the securities, the “Documents”) or such transactions solely because such law, rule or regulation is part of a regulatory regime applicable to any party to any of the Documents or any of its affiliates due to the specific assets or business of such party or such affiliate or (ii) any law, rule or regulation relating to national security.

In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated February 25, 2026, which has been filed as an exhibit to the Registration Statement on Form S-3 by Citigroup Global Markets Holdings Inc. and Citigroup Inc. on February 25, 2026, that the Documents have been duly authorized, executed, authenticated (if applicable) and delivered by, and are each a valid, binding and enforceable agreement of, each party thereto (other than as expressly covered above in respect of Citigroup Global Markets Holdings Inc. and Citigroup Inc.) and that the terms of the securities and the issuance, execution, delivery and performance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. of the securities and the related guarantee do not contravene, or constitute a default under, any judgment, injunction, order or decree or any agreement or other instrument binding upon Citigroup Global Markets Holdings Inc. or Citigroup Inc.

Contact

Clients may contact their local brokerage representative. Third-party distributors may contact Citi Structured Investment Sales at (212) 723-7005.

© 2026 Citigroup Global Markets Inc. All rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.

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PS-22

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