Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026, disclosing preliminary terms for 2-Year Autocallable Dual Directional Buffer Securities linked to the worst of the Nasdaq-100 Index (NDX) and the S&P 500 Index (SPX), with a stated principal amount of $1,000 per security and a preliminary pricing supplement dated November 2, 2026.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. is the guarantor, according to the filing.
  • Automatic early redemption premium: If the worst performer is at or above its initial value on the interim valuation date (December 1, 2027), holders receive a 10.25% premium on the stated principal amount.
  • Buffer percentage: A 15% buffer applies at maturity, with the final buffer value set at 85% of each underlying's initial value.
  • Upside participation rate: 150% of the worst performer's positive underlying return at the final valuation date (November 30, 2028).
  • Absolute return feature: If the worst performer declines but remains at or above its final buffer value, holders receive $1,000 plus the absolute value of the negative return, per the filing.
  • CUSIP / ISIN: 17334DX23 / US17334DX232, as stated in the filing.
  • No exchange listing: The filing states "the securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Citigroup Global Markets Holdings Preliminary Terms: Worst-of Linked Structured Notes

According to the filing, the securities are linked to the performance of two underlyings: the Nasdaq-100 Index (NDX) and the S&P 500 Index (SPX). The "worst performer" is defined as whichever index has the lowest underlying return on a given valuation date. The pricing date is November 30, 2026, and the maturity date is December 5, 2028, with an interim valuation date of December 1, 2027, and a final valuation date of November 30, 2028.

The filing describes three possible payment scenarios at maturity, assuming no automatic early redemption. If the worst performer's final value is at or above its initial value, the holder receives $1,000 plus an upside return amount calculated at 150% of the worst performer's positive return. If the worst performer has declined but remains at or above 85% of its initial value, the holder receives $1,000 plus the absolute value of that negative return. If the worst performer has fallen below the 85% final buffer value, the filing states holders "will lose 1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage."

The filing lists several risk considerations. It notes the securities "do not repay a fixed amount of principal at maturity," do not pay interest, and are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The filing also states that "the estimated value of the securities on the pricing date will be less than the issue price" and that the issuer and its affiliates "may have conflicts of interest with you." The U.S. federal tax consequences are described in the filing as "unclear."

What Was Disclosed

Citigroup Global Markets Holdings Inc. released preliminary terms for structured notes linked to the worst of NDX and SPX, with a 15% buffer, 150% upside participation, a 10.25% autocall premium, and a maturity date of December 5, 2028. All payments are subject to issuer and guarantor credit risk.