Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026, disclosing preliminary terms for 3-Year Autocallable Securities linked to the worst performer of the Russell 2000 Index (RTY) and the S&P 500 Index (SPX), with a pricing date of November 30, 2026, and a maturity date of December 5, 2029.

Key Highlights

  • Structure: Securities are linked to the worst performer of two indexes, the Russell 2000 (RTY) and the S&P 500 (SPX), with a stated principal amount of $1,000 per security.
  • Premium rate: 11.60% per annum, payable only upon automatic early redemption or at maturity if the worst performer meets or exceeds its initial underlying value on the final valuation date.
  • Barrier level: The final barrier value for each underlying is set at 60.00% of its initial underlying value, below which investors bear full proportional loss.
  • Autocall dates: Annual valuation dates beginning approximately one year after issuance, with the first potential call corresponding to a December 1, 2027 interim payment date.
  • Principal at risk: According to the filing, if the worst performer's final underlying value falls below the barrier, investors "will lose 1% of the stated principal amount of your securities for every 1% by which the worst performer on the final valuation date has declined," with no minimum payment at maturity.
  • CUSIP / ISIN: 17334D6E7 / US17334D6E72, issued under SEC registration file numbers 333-293732 and 333-293732-02.
  • No exchange listing: The filing states the securities will not be listed on any securities exchange, and secondary market sales prior to maturity may not be possible.

Terms, Payoff Scenarios, and Risks of the Worst-of Autocallable Structure

The securities are issued by Citigroup Global Markets Holdings Inc., a subsidiary within the Citigroup Inc. corporate family that issues structured notes and similar debt instruments, with Citigroup Inc. serving as guarantor. The preliminary pricing supplement, dated November 4, 2026, sets out a worst-of design in which the return at every valuation date is determined solely by whichever of the two underlying indexes has performed less favorably relative to its starting value. Annual valuation dates run through November 30, 2029, the final valuation date, with maturity on December 5, 2029.

The filing's hypothetical payment table illustrates three maturity outcomes. If the worst performer finishes at or above its initial value, investors receive $1,348.00 per $1,000 security, reflecting the full three-year premium of 34.80% cumulative. If it finishes below the initial value but at or above the 60% barrier, the return is $1,000, meaning no loss of principal but no gain. Below the barrier, the payment tracks the worst performer's decline dollar-for-dollar: a hypothetical -50% return produces $500.00, and a -100% return produces $0.00, as shown in the filing's table.

The filing enumerates multiple risk considerations specific to this structure. Because payoff depends on the worst of two uncorrelated indexes, the probability that at least one performs poorly may be greater than for a single-index note. The securities pay no interest in any scenario, the estimated value on the pricing date will be less than the issue price, and all payments remain subject to the credit risk of both the issuer and the guarantor. The filing also notes that the Russell 2000 Index carries additional risks associated with small-capitalization stocks.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus disclosing the preliminary terms of 3-Year Autocallable Securities linked to the worst of RTY and SPX, covering the autocall mechanics, premium schedule, barrier level, hypothetical payment scenarios, and an enumerated list of risk factors associated with the offering.