Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. (NYSE:C), filed a free writing prospectus on November 3, 2026, for 5-Year Autocallable Contingent Coupon Securities linked to the worst of the Dow Jones Industrial Average (INDU) and the S&P 500 Dynamic Participation Index (SPXDPU1), with a pricing date of November 25, 2026, and a maturity date of November 28, 2031.

Key Highlights

  • Contingent coupon rate: 7.25% per annum, paid monthly only if the worst performer closes at or above 80.00% of its initial underlying value on the related valuation date.
  • Buffer percentage: 15.00%, meaning principal repayment at maturity is protected unless the worst performer has declined more than 15.00% from its initial underlying value.
  • Automatic early redemption: Securities are called monthly (beginning after one year) at principal plus the contingent coupon if the worst performer closes at or above its initial underlying value on an autocall date.
  • Stated principal amount: $1,000 per security, with CUSIP 17334D5J7 and ISIN US17334D5J78.
  • Downside exposure: If the worst performer falls more than 15.00% from its initial value by the final valuation date, investors lose 1% of principal for every 1% of depreciation beyond the buffer.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.
  • Listing status: According to the filing, "the securities will not be listed on any securities exchange."

Structure and Payment Terms of the Citigroup November 2026 Autocallable Securities

The filing describes structured notes issued by Citigroup Global Markets Holdings Inc., a subsidiary of Citigroup Inc. that issues structured products linked to market indexes. The securities are linked to the worst-performing of two underlyings: the Dow Jones Industrial Average (ticker: INDU) and the S&P 500 Dynamic Participation Index (ticker: SPXDPU1). The payment mechanics are driven entirely by whichever index performs worse on each monthly valuation date, a feature the filing identifies as a source of heightened risk because poor performance by any single underlying is sufficient to affect the securities negatively.

The contingent coupon of 7.25% per annum is not guaranteed. It is payable monthly only on valuation dates where the worst performer closes at or above 80.00% of its initial underlying value, defined as the coupon barrier value. If that condition is not met on a given valuation date, no coupon is paid for that period. At maturity, if the securities have not been automatically redeemed, the payment depends on whether the worst performer's final value is at or above 85.00% of its initial value (the final buffer value). If it is, the investor receives $1,000 per security. If it is not, the payment is reduced dollar-for-dollar beyond the 15.00% buffer, with a hypothetical payment of $150 at a -100.00% worst underlying return, as shown in the filing's payment table.

The filing notes that the estimated value of the securities on the pricing date will be less than the issue price, and that the value prior to maturity will fluctuate based on unpredictable factors. The preliminary pricing supplement is dated November 3, 2026, and the offering was filed under SEC registration file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus for 5-year structured notes offering a 7.25% per annum contingent coupon linked to two equity indexes, with a 15.00% principal buffer at maturity, monthly autocall provisions, and full principal at risk if the worst performer declines beyond the buffer.