Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 28, 2026, outlining preliminary terms for 3-year autocallable barrier securities linked to the worst of the Nasdaq-100 Index (NDX), the Russell 2000 Index (RTY), and the S&P 500 Index (SPX), with a scheduled pricing date of November 24, 2026.

Key Highlights

  • Structure: Securities are linked to the worst performer among three indexes: NDX, RTY, and SPX, with a stated principal amount of $1,000 per security.
  • Autocall feature: If the worst performer closes at or above its initial underlying value on the interim valuation date of November 26, 2027, the securities are automatically redeemed at principal plus a premium of at least 12.75% per annum, for a hypothetical redemption of $1,127.50.
  • Upside participation: If not autocalled and the worst performer finishes above its initial value at the final valuation date of November 26, 2029, investors receive $1,000 plus a return amount equal to $1,000 multiplied by the worst performer's underlying return multiplied by an upside participation rate of 200.00%.
  • Barrier level: The final barrier value is set at 70.00% of each underlying's initial underlying value, providing conditional principal protection between 0% and -30% decline in the worst performer.
  • Principal loss risk: If the worst performer's final underlying value is below its final barrier value, investors lose 1% of stated principal for every 1% of decline, with no minimum payment at maturity, including the possibility of receiving nothing.
  • No interest or dividends: According to the filing, the securities do not pay interest and investors have no rights to dividends from the underlying indexes.
  • Credit risk: All payments are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., and the securities will not be listed on any securities exchange.

Preliminary Terms: How These Autocallable Securities Are Structured

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The CUSIP is 17334D2S0 and the ISIN is US17334D2S05. The securities carry a maturity date of November 29, 2029, with two key valuation dates: November 26, 2027 (the interim valuation date) and November 26, 2029 (the final valuation date). The pricing date is November 24, 2026, on which the initial underlying value for each index is set to its closing value.

The filing describes a single autocall opportunity: if, on the interim valuation date, the closing value of the worst-performing index is greater than or equal to its initial underlying value, the securities are automatically redeemed. The hypothetical redemption amount assumes a premium set at the minimum indicated value of 12.75% per annum, resulting in $1,127.50 per $1,000 security. The actual premium will be determined on the pricing date. If the autocall condition is not met, the securities continue to the final valuation date.

At maturity, three outcomes are possible under the filing's terms. If the worst performer's final underlying value exceeds its initial underlying value, investors receive $1,000 plus the return amount, calculated using the 200.00% upside participation rate. If the worst performer declines but remains at or above 70.00% of its initial value, investors receive $1,000. If the worst performer falls below 70.00% of its initial value, investors receive $1,000 plus the product of $1,000 and the worst performer's negative underlying return, which the filing states could result in a loss of up to the entire principal. The filing also discloses that the estimated value of the securities on the pricing date will be less than the issue price, and that the securities will not be listed on any securities exchange.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 3-year autocallable barrier securities tied to the worst of NDX, RTY, and SPX, with a 200.00% upside participation rate, a 70.00% final barrier, a premium of at least 12.75% per annum on early redemption, and no minimum payment at maturity if the barrier is breached.