Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 6, 2026, disclosing preliminary terms for 5-year autocallable buffer securities linked to the worst performer of two indexes.

Key Highlights

  • Underlyings: Securities are linked to the Dow Jones Industrial Average (ticker: INDU) and the S&P 500 Dynamic Participation Index (ticker: SPXDPU1), with payoff determined by the worst performer.
  • Pricing date: November 13, 2026, with a maturity date of November 18, 2031, giving the securities a 5-year term.
  • Upside participation rate: 150.00%, applied to the underlying return of the worst performer if that return is positive at maturity.
  • Buffer percentage: 15.00%, meaning losses begin only when the worst performer has declined more than 15% from its initial underlying value.
  • Autocall premium: If the worst performer closes at or above its initial underlying value on the interim valuation date of November 16, 2027, holders receive principal plus 10.10% per annum, for a hypothetical redemption of $1,101.00 per $1,000 security.
  • Principal at risk: If the worst performer falls below the final buffer value at maturity, holders lose 1% of stated principal for every 1% by which that decline exceeds the 15.00% buffer.
  • CUSIP / ISIN: 17334HAJ2 / US17334HAJ23, with a stated principal amount of $1,000 per security.

Structure and Payment Terms of the Citigroup Autocallable Buffer Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer and Citigroup Inc. serves as guarantor for these structured securities. The securities are linked to two indexes simultaneously, with all return calculations based solely on whichever index records the lower underlying return at each valuation date. The filing notes that because payoff depends on the worst performer, "the securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs poorly."

The filing discloses three possible outcomes at maturity for securities not automatically redeemed. First, if the worst performer's final underlying value exceeds its initial underlying value, the holder receives $1,000 plus the return amount at the 150.00% participation rate. Second, if the worst performer's final value is at or below its initial value but at or above 85.00% of that initial value (the final buffer value), the holder receives $1,000, with no gain or loss. Third, if the worst performer's final value is below the final buffer value, the holder incurs losses dollar-for-dollar beyond the 15.00% buffer. The filing illustrates this with a hypothetical: a worst-performer return of negative 50.00% produces a security return of negative 35.00% and a payment of $650.00 per $1,000 security.

The filing also states that the securities will not be listed on any securities exchange, the estimated value on the pricing date will be less than the issue price, and 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 holders have no dividend rights with respect to the underlyings.

What Was Disclosed

The free writing prospectus, filed November 6, 2026, sets out preliminary terms for 5-year autocallable buffer securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc., with a pricing date of November 13, 2026, and maturity on November 18, 2031.