Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 28, 2026, disclosing preliminary terms for 5-year autocallable market-linked securities tied to the Citi Dynamic Asset Selector 5 Excess Return Index (ticker: CIISDA5N), with a pricing date of November 24, 2026.

Key Highlights

  • Stated principal: $1,000 per security, with full principal protection at maturity if the securities are not autocalled and the index return is zero or negative.
  • Autocall premium: At least 7.00% per annum, with the actual premium to be determined on the pricing date of November 24, 2026.
  • Maturity date: November 28, 2031, representing a maximum term of approximately five years.
  • Upside participation rate: 100.00% of any positive index return if held to the final valuation date of November 24, 2031.
  • No interest payments: According to the filing, "the securities do not pay interest."
  • Not exchange-listed: The filing states the securities will not be listed on any securities exchange.
  • CUSIP / ISIN: 17334D3A8 / US17334D3A87.

Structure and Payment Terms of the Citigroup CIISDA5N-Linked Securities

According to the preliminary pricing supplement dated October 28, 2026, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. They are linked to the Citi Dynamic Asset Selector 5 Excess Return Index (CIISDA5N), a rules-based, trend-following index created by Citigroup Global Markets Limited and launched on June 13, 2016. Annual valuation dates begin approximately one year after issuance, with the first falling on or around November 24, 2027.

If, on any interim valuation date, the closing level of the index equals or exceeds the initial index level, the securities are automatically redeemed at the stated principal plus the applicable premium. The filing presents hypothetical redemption scenarios assuming the minimum premium of 7.00% per annum: $1,070.00 at year one, $1,140.00 at year two, $1,210.00 at year three, and $1,280.00 at year four. If no autocall occurs and the securities are held to maturity, investors receive the $1,000 principal plus a return amount equal to $1,000 multiplied by the index return and the 100.00% participation rate, provided the final index level exceeds the initial level. If the final index level is at or below the initial index level, the return amount is $0 and only principal is returned.

The filing identifies several risk factors. "All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." The estimated value of the securities on the pricing date will be less than the issue price, according to the filing. The index carries risks specific to its trend-following methodology, including a time lag in its volatility-targeting feature and exposure to U.S. Treasury Futures, which the filing notes "has limited return potential and significant downside potential, particularly in times of rising interest rates." Sale prior to maturity may result in a loss of principal.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for autocallable, principal-protected-at-maturity securities linked to the CIISDA5N index, with a 100.00% upside participation rate, at least 7.00% per annum autocall premium, and a final maturity of November 28, 2031.