Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 28, 2026, disclosing preliminary terms for 1.25-year autocallable securities linked to the worst of the Russell 2000 Index (RTY) and the S&P 500 Index (SPX), with a pricing date of November 12, 2026.

Key Highlights

  • Coupon rate: 8.00% per annum, paid monthly, according to the filing.
  • Stated principal: $1,000 per security, with maturity on February 17, 2028.
  • Final barrier value: 70.00% of each underlying's initial value on the pricing date.
  • Autocall trigger: Quarterly beginning after six months; called if the worst performer closes at or above its initial underlying value on any autocall date.
  • Principal-at-risk: If the worst performer falls below the 70.00% barrier at maturity, investors lose 1% of principal for every 1% decline from the initial underlying value, with no minimum payment at maturity excluding the final coupon.
  • CUSIP / ISIN: 17334D2V3 / US17334D2V34, as disclosed in the filing.

Preliminary Terms: Structure, Payoff, and Risk Disclosures

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The underlyings are the Russell 2000 Index (ticker: RTY) and the S&P 500 Index (ticker: SPX). The valuation date is February 14, 2028, with maturity on February 17, 2028. Each security carries a stated principal amount of $1,000 and pays a coupon of 8.00% per annum on a monthly basis.

The filing describes the payment at maturity as follows: if the securities are not automatically redeemed and the final underlying value of the worst performer is greater than or equal to its final barrier value (70.00% of its initial underlying value), the holder receives $1,000 plus the final coupon. If the worst performer's final value falls below that barrier, the holder receives $1,000 plus $1,000 multiplied by the underlying return of the worst performer, which may result in significant loss. The filing states: "you may lose up to all of your investment." Hypothetical scenarios provided in the document show a payment of $699.90 at a worst underlying return of -30.01%, $500.00 at -50.00%, and $0.00 at -100.00%.

The filing highlights several risk factors, including that "the securities are subject to heightened risk because they have multiple underlyings" and that performance depends solely on the worst performer. Additional risks disclosed include the securities not being listed on any exchange, the estimated value on the pricing date being less than the issue price, potential conflicts of interest involving the issuer and its affiliates, and unclear U.S. federal tax consequences. All payments are described as subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 1.25-year autocallable securities linked to the worst of RTY and SPX, offering an 8.00% per annum coupon with a 70.00% final barrier and full principal at risk if the barrier is breached at maturity.