Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 2, 2026, disclosing preliminary terms for 2-Year Autocallable Barrier Securities linked to the worst of the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index, with a pricing date of November 30, 2026.

Key Highlights

  • Stated principal: $1,000 per security, with maturity date of December 5, 2028.
  • Upside participation rate: 300.00% applied to the underlying return of the worst performer if it finishes above its initial value at maturity.
  • Autocall feature: If the worst performer closes at or above its initial underlying value on December 1, 2027, the securities are automatically redeemed at principal plus a 12.50% per annum premium, equal to a hypothetical redemption of $1,125.00 per security.
  • Final barrier value: 70.00% of each underlying's initial value on the pricing date; breach results in full proportional loss of principal.
  • Principal at risk: According to the filing, if the worst performer finishes below its final barrier value, investors "will lose 1% of the stated principal amount of your securities for every 1% by which the worst performer on the final valuation date has declined from its initial underlying value," with no minimum payment at maturity.
  • CUSIP / ISIN: 17334DU91 / US17334DU915.
  • No exchange listing: The filing states the securities will not be listed on any securities exchange.

Structure and Payment Terms of the Citigroup Autocallable Barrier Securities

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. (NYSE:C). The three underlyings are the Nasdaq-100 Index (NDX), the Russell 2000 Index (RTY), and the S&P 500 Index (SPX). The initial underlying value for each index is its closing value on the November 30, 2026 pricing date. The valuation dates are December 1, 2027 (interim) and November 30, 2028 (final), with a maturity date of December 5, 2028.

The filing describes three possible payment scenarios at maturity if the securities are not autocalled. If the worst performer's final underlying value exceeds its initial underlying value, the investor receives $1,000 plus a return amount equal to $1,000 multiplied by the worst performer's underlying return and the 300.00% upside participation rate. If the worst performer finishes at or below its initial value but at or above 70.00% of that value (the final barrier), the investor receives $1,000 with no gain. If the worst performer falls below the 70.00% barrier, the investor receives $1,000 plus $1,000 multiplied by the (negative) underlying return, meaning principal loss mirrors the index decline with no floor. The filing states there is no minimum payment and investors may lose up to all of their investment.

The filing identifies several risk factors specific to this structure. It notes that "the securities are subject to heightened risk because they have multiple underlyings" and that return depends solely on the worst-performing index, exposing investors to the risk of any single underlying performing poorly regardless of the others. The filing also discloses that the estimated value of the securities on the pricing date will be less than the issue price, and that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The securities do not pay interest and are not listed on any exchange.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for autocallable barrier securities linked to the worst of NDX, RTY, and SPX, with a $1,000 principal, 300.00% upside participation, a 70.00% barrier, a 12.50% per annum autocall premium, and a December 5, 2028 maturity date.