Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 26, 2026, disclosing preliminary terms for 1.5-year autocallable contingent coupon securities linked to the worst performer among the Dow Jones Industrial Average, the Russell 2000 Index, and the S&P 500 Index.

Key Highlights

  • Pricing date: November 6, 2026, with a maturity date of May 11, 2028.
  • Contingent coupon rate: 13.20% per annum, paid quarterly, only if no coupon barrier event has occurred during the related observation period.
  • Coupon and knock-in barrier: Set at 75.00% of each underlying's initial value for both the coupon barrier and the knock-in value.
  • Automatic early redemption: Triggered quarterly beginning after six months if the worst performing underlying closes at or above its initial value on a potential autocall date; redemption equals principal plus the applicable contingent coupon.
  • Principal at risk: If a knock-in event has occurred and the final value of the worst performing underlying is below its initial value, investors lose 1% of stated principal for every 1% decline, with no minimum payment at maturity.
  • CUSIP / ISIN: 17334DM82 / US17334DM821.
  • Stated principal amount: $1,000 per security.

Structure and Payment Terms of the Citigroup Worst-of Autocallable Securities

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. (NYSE:C). The three underlyings are the Dow Jones Industrial Average (ticker: INDU), the Russell 2000 Index (ticker: RTY), and the S&P 500 Index (ticker: SPX). Each underlying's initial value is its closing value on the pricing date of November 6, 2026, and the final valuation date is May 8, 2028, with maturity on May 11, 2028. Observation periods run quarterly, and on each observation period end-date the security may be automatically called if the worst performing underlying is at or above its initial value.

The filing discloses that a coupon barrier event occurs if the closing value of any underlying falls below 75.00% of its initial value on any trading day within the relevant observation period. If a coupon barrier event occurs, no contingent coupon is paid for that period. The knock-in event, which determines principal risk at maturity, is also set at 75.00% of each underlying's initial value and is monitored on every scheduled trading day from the pricing date through the final valuation date. The filing states that if no knock-in event has occurred and the worst performing underlying finishes below its initial value, investors still receive $1,000; however, if a knock-in event has occurred and that underlying finishes below its initial value, payment at maturity is reduced dollar-for-dollar with the decline, with no floor.

The filing highlights several risk factors, including that "the securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity," that "the estimated value of the securities on the pricing date will be less than the issue price," and that all payments are subject to the credit risk of both the issuer and the guarantor. The filing also notes that the U.S. federal tax consequences of an investment in the securities are described as unclear. The securities are being offered under SEC registration file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. published preliminary terms for 1.5-year autocallable notes linked to the worst of three major U.S. equity indexes, offering a 13.20% per annum contingent coupon with a 75% barrier and full downside exposure at maturity if a knock-in event occurs.