Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 2026, outlining preliminary terms for 35-month callable contingent coupon securities linked to the worst performer among the Nasdaq-100 Index, the Russell 2000 Index, and the S&P 500 Index.

Key Highlights

  • Contingent coupon rate: 10.50% per annum, paid monthly, only if the worst-performing underlying closes at or above 75.00% of its initial value on the related valuation date.
  • Principal barrier at maturity: 65.00% of each underlying's initial value; if the worst performer falls below this threshold, investors lose 1% of principal for every 1% decline from the initial value, with no minimum payment.
  • Callable feature: The issuer may redeem the securities in whole, but not in part, on any monthly valuation date beginning after six months, upon not less than three business days' notice.
  • Maturity date: November 2, 2029, with a pricing date of November 30, 2026 and monthly valuation dates throughout the term.
  • Stated principal amount: $1,000 per security; CUSIP 17334DT93 / ISIN US17334DT933.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.
  • 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."

Preliminary Terms for the Worst-of Linked Securities Offering

According to the filing, Citigroup Global Markets Holdings Inc. is offering callable contingent coupon securities with a stated principal amount of $1,000 per security. The securities are linked to the worst performer among three underlying indexes: the Nasdaq-100 Index (NDX), the Russell 2000 Index (RTY), and the S&P 500 Index (SPX). The contingent coupon of 10.50% per annum is payable monthly, but only on valuation dates when the worst-performing underlying closes at or above its coupon barrier value, set at 75.00% of its initial underlying value. The filing states that investors "are not assured of receiving any contingent coupon."

The filing discloses that if the securities are not called prior to maturity and the final underlying value of the worst performer is below 65.00% of its initial value, investors will receive $1,000 plus $1,000 multiplied by the underlying return of the worst performer, which could result in a loss of up to the entire principal. The hypothetical payment table included in the filing illustrates that a worst-underlying return of -50.00% at final valuation would produce a payment of $500.00, and a return of -100.00% would produce $0.00. The filing explicitly states there is "no minimum payment at maturity."

The filing notes several risk factors specific to this structure, 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." The estimated value of the securities on the pricing date is disclosed to be less than the issue price, with further detail provided in the accompanying preliminary pricing supplement. The filing was made pursuant to Rule 433 under registration statement file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus covering preliminary terms for 35-month callable contingent coupon securities linked to the worst of NDX, RTY, and SPX, with a 10.50% per annum contingent coupon, a 65.00% principal barrier, and a maturity date of November 2, 2029.