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 contingent coupon securities linked to the worst performer among the Nasdaq-100 Index, Russell 2000 Index, and S&P 500 Index, with a pricing date of November 23, 2026, and a maturity date of November 28, 2029.

Key Highlights

  • Contingent coupon rate: 8.50% per annum, paid monthly, only if the worst-performing underlying closes at or above 70.00% of its initial value on the related valuation date.
  • Principal barrier: 70.00% of each underlying's initial value; if the worst performer falls below this on the final valuation date, investors lose 1% of principal for every 1% decline from the initial value, with no minimum payment.
  • Automatic early redemption: Securities are called quarterly (beginning after one year) if the worst performer closes at or above its initial underlying value, returning principal plus the related contingent coupon.
  • Stated principal amount: $1,000 per security; CUSIP 17334D5W8 / ISIN US17334D5W89.
  • No exchange listing: According to the filing, "The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., the guarantor.
  • Estimated value disclosure: The filing states the estimated value of the securities on the pricing date will be less than the issue price.

Preliminary Terms for Citigroup's Worst-of Linked Autocallable Securities

Citigroup Global Markets Holdings Inc. filed a free writing prospectus (FWP) pursuant to Rule 433 disclosing preliminary terms for structured securities linked to the worst performer of three major equity indexes: the Nasdaq-100 Index (NDX), the Russell 2000 Index (RTY), and the S&P 500 Index (SPX). The securities carry a stated principal amount of $1,000 per security, with a preliminary pricing supplement dated November 3, 2026, and a pricing date of November 23, 2026. Maturity is set for November 28, 2029, making these 3-year instruments.

According to the filing, a contingent coupon of 8.50% per annum is paid monthly, but only on valuation dates where the worst-performing underlying closes at or above 70.00% of its initial underlying value (the coupon barrier). If the closing value falls below that threshold on any given valuation date, no coupon is paid for that period. If, on any quarterly autocall date beginning after one year, the worst performer closes at or above its initial underlying value, the securities are automatically redeemed at principal plus the related contingent coupon, limiting further coupon accumulation.

If the securities are not redeemed early and the worst performer's final value is below the 70.00% final barrier value at maturity, the payment is calculated as $1,000 plus $1,000 multiplied by the worst performer's underlying return, which the filing notes could result in "possibly nothing" returned to investors. The filing identifies multiple risk factors, including that "the securities are subject to heightened risk because they have multiple underlyings" and that the return "depends solely on the performance of the worst performer." All payments are subject to the credit risk of both the issuer and the guarantor, Citigroup Inc.

What Was Disclosed

The FWP sets out preliminary economic terms for 3-year autocallable contingent coupon securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc., including coupon rate, barrier levels, autocall mechanics, hypothetical payoff scenarios, and selected risk considerations, referencing registration file numbers 333-293732 and 333-293732-02.