Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 2, 2026 for 3-year autocallable securities linked to the worst of the Russell 2000 Index and the S&P 500 Index, with a pricing date of November 30, 2026 and a maturity date of December 5, 2029.

Key Highlights

  • Stated principal: $1,000 per security, with CUSIP 17334DV25 / ISIN US17334DV251.
  • Premium rate: 11.35% per annum, payable upon automatic early redemption if the worst performer closes at or above its initial underlying value on an annual valuation date.
  • Final barrier value: 65.00% of each underlying's initial underlying value; a breach at maturity exposes the holder to full downside on a 1-for-1 basis with no minimum payment.
  • Underlyings: The Russell 2000 Index (RTY) and the S&P 500 Index (SPX), with return determined by the worst performer on each valuation date.
  • Final valuation date: November 30, 2029; maturity date December 5, 2029.
  • Credit exposure: All payments are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
  • Listing: According to the filing, "the securities will not be listed on any securities exchange."

Structure and Payment Terms of the RTY/SPX Autocallable Securities

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. (NYSE:C). The preliminary pricing supplement is dated October 30, 2026, and the pricing date is set for November 30, 2026. Valuation dates occur annually beginning approximately one year after issuance, with a final valuation date of November 30, 2029 and a maturity date of December 5, 2029.

The filing describes three possible payment outcomes at maturity, assuming no prior automatic redemption. If the final underlying value of the worst performer is greater than or equal to its initial underlying value, the holder receives $1,000 plus the premium applicable to the final valuation date, which the hypothetical table shows as $1,340.50. If the worst performer finishes below its initial underlying value but at or above the 65.00% barrier, the holder receives $1,000. If the worst performer finishes below the barrier, the holder receives $1,000 plus $1,000 multiplied by the underlying return of the worst performer, meaning losses are proportional with no floor. The filing states: "There is no minimum payment at maturity on the securities, and you may lose up to all of your investment."

The filing identifies several risk factors. The return depends solely on the worst-performing underlying, so poor performance by either RTY or SPX alone is sufficient to affect the outcome. The filing also notes that the estimated value of the securities on the pricing date will be less than the issue price, and that the securities do not pay interest. The filing was made pursuant to Rule 433, and registration statement file numbers 333-293732 and 333-293732-02 are cited for further information.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus describing the preliminary terms of 3-year autocallable securities linked to RTY and SPX, including premium rates, barrier levels, hypothetical payment scenarios, and a summary of selected risk considerations.