Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 28, 2026, disclosing preliminary terms for 3-year autocallable securities linked to the worst of the Dow Jones Industrial Average and the Russell 2000 Index, with a pricing date of November 24, 2026, and a maturity date of November 29, 2029.

Key Highlights

  • Underlyings: The securities are linked to the worst performer of the Dow Jones Industrial Average (ticker: INDU) and the Russell 2000 Index (ticker: RTY).
  • Stated principal: $1,000 per security, with a final buffer value set at 85.00% of each underlying's initial value, giving a buffer percentage of 15.00%.
  • Premium: At least 7.50% per annum, with the actual rate to be determined on the November 24, 2026 pricing date.
  • Autocall mechanism: If on any quarterly valuation date prior to final maturity the worst performer's closing value is greater than or equal to its initial underlying value, the securities are automatically called at principal plus the applicable premium.
  • Downside risk: If the worst performer falls more than 15.00% from its initial value by the final valuation date, investors lose 1% of stated principal for every 1% of depreciation beyond the buffer percentage.
  • CUSIP / ISIN: 17334D2L5 / US17334D2L51.
  • Listing: According to the filing, "The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Preliminary Terms for Citigroup's Worst-of Autocallable Structure

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer of these structured securities, with Citigroup Inc. acting as guarantor. The preliminary pricing supplement, dated October 28, 2026, sets out the terms ahead of the November 24, 2026 pricing date. Valuation dates occur quarterly beginning approximately one year after issuance, with the final valuation date on November 26, 2029, and maturity on November 29, 2029.

The filing provides hypothetical interim payment illustrations assuming the minimum premium of 7.50% per annum. Under those assumptions, an autocall on the first quarterly valuation date (November 26, 2027) would return $1,075.00 per security, rising to $1,206.25 if called on August 24, 2029. If the securities reach the final valuation date without being called and the worst performer is at or above its initial value, the hypothetical payout is $1,225.00 per security. If the worst performer is down between 0.01% and 15.00%, the filing states the return is $1,000. Below the 15.00% buffer, losses accrue at a 1-for-1 rate: a hypothetical -50.00% worst performer return produces a $650.00 payout, and a -100.00% return produces a $150.00 payout, per the filing's table.

The filing identifies several risk considerations, including that the securities do not pay interest, offer no upside exposure to the underlyings, and are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The filing further notes that "the estimated value of the securities on the pricing date will be less than the issue price" and that U.S. federal tax consequences "are unclear." The filing was made pursuant to Rule 433, referencing registration statement file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for 3-year autocallable worst-of securities linked to INDU and RTY, with a 15.00% downside buffer, a minimum 7.50% per annum premium, a $1,000 stated principal, and a final maturity date of November 29, 2029.