Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 2026, disclosing preliminary terms for 2-year market-linked securities linked to the Citi Dynamic Asset Selector 5 Excess Return Index (ticker: CIISDA5N), with a pricing date of November 24, 2026.

Key Highlights

  • Upside participation rate: 200.00%, applied to any positive index return measured from the initial to the final index level.
  • Principal protection: If the final index level is less than or equal to the initial index level, investors receive only the $1,000 stated principal amount per security, with no return.
  • No interest payments: The securities do not pay interest at any point during their term.
  • Key dates: Pricing date is November 24, 2026; valuation date is November 24, 2028; maturity date is November 29, 2028.
  • CUSIP / ISIN: 17334DT77 / US17334DT776.
  • Index fee: 0.85% per annum, deducted daily from index performance.
  • No exchange listing: The securities will not be listed on any securities exchange, and investors may not be able to sell them prior to maturity.

Terms and Structure of the CIISDA5N-Linked Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer of these 2-year market-linked securities, with Citigroup Inc. serving as guarantor. The stated principal amount is $1,000 per security. At maturity, the filing states that investors will receive the stated principal amount plus a return amount that will be either zero or positive, depending entirely on the performance of the Citi Dynamic Asset Selector 5 Excess Return Index between the pricing date and the valuation date.

The filing discloses that the return amount is calculated as $1,000 multiplied by the index return and the 200.00% upside participation rate, but only if the final index level exceeds the initial index level. If the final index level is less than or equal to the initial index level, the return amount is $0. Hypothetical examples in the filing illustrate that a 50.00% index return would produce a $2,000.00 payment at maturity, while a -50.00% index return would produce a $1,000.00 payment, equal to the stated principal amount only.

The filing identifies several risk considerations. It notes that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." It also discloses that the estimated value of the securities on the pricing date will be less than the issue price, that sale prior to maturity may result in a loss of principal, and that the index's volatility-targeting feature, which maintains a 21-day realized volatility at or below 5%, "significantly reduces the potential for Index gains." The index itself was launched on June 13, 2016, and the filing notes it "has a limited performance history." An index fee of 0.85% per annum is deducted daily from index performance.

What Was Disclosed

The filing sets out preliminary terms for 2-year securities linked to the CIISDA5N index, with a 200.00% upside participation rate, $1,000 stated principal, no interest, a November 24, 2026 pricing date, and maturity on November 29, 2028. The securities carry the credit risk of both the issuer and guarantor.