Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 10, 2026, outlining preliminary terms for 5-year autocallable barrier securities linked to the worst of the Russell 2000 Index and the SPDR S&P Biotech ETF, with a pricing date of November 25, 2026.

Key Highlights

  • Underlyings: Securities are linked to the worst performer of the Russell 2000 Index (RTY) and the State Street SPDR S&P Biotech ETF (XBI).
  • Upside participation rate: 150.00% of the worst performer's underlying return if the final underlying value exceeds its initial underlying value.
  • Final barrier value: 70.00% of each underlying's initial underlying value on the final valuation date of November 25, 2031.
  • Autocall feature: If the worst performer closes at or above its initial underlying value on November 29, 2027, the securities are automatically redeemed at principal plus a premium of 23.55% per annum, equating to a hypothetical redemption of $1,235.50 per $1,000 security.
  • Principal at risk: If not autocalled and the worst performer finishes below its final barrier value, investors lose 1% of principal for every 1% decline from the initial underlying value, with no minimum payment at maturity.
  • Stated principal amount: $1,000 per security; CUSIP 17334HBQ5 / ISIN US17334HBQ56.
  • Maturity date: December 1, 2031; securities will not be listed on any securities exchange.

Terms and Risk Profile of the RTY/XBI Worst-of Barrier Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer and Citigroup Inc. serves as guarantor for these structured securities. The preliminary pricing supplement is dated November 10, 2026, with the pricing date set for November 25, 2026. The securities carry a stated principal amount of $1,000 each and do not pay periodic interest.

The filing discloses two possible outcomes prior to or at maturity. On the interim valuation date of November 29, 2027, if the closing value of the worst performer is greater than or equal to its initial underlying value, the securities are automatically redeemed for principal plus a 23.55% per annum premium, producing a hypothetical payment of $1,235.50 per security. If the autocall condition is not met, the securities remain outstanding until the final valuation date of November 25, 2031. At maturity, the payment depends on where the worst performer finishes relative to its initial underlying value and its final barrier value of 70.00% of the initial underlying value. The filing shows hypothetical maturity payments ranging from $1,750.00 (at a 50.00% worst-performer gain, with 150.00% participation) down to $0.00 (at a 100.00% worst-performer loss).

The filing enumerates several risk considerations. It states that "all payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." It also notes that the securities are subject to heightened risk because they have multiple underlyings, and that "all that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly." Additionally, the filing discloses that the estimated value of the securities on the pricing date will be less than the issue price, and that the U.S. federal tax consequences of an investment in the securities are described as unclear.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus setting out preliminary terms for 5-year worst-of autocallable barrier securities linked to RTY and XBI, including a 150.00% upside participation rate, a 70.00% final barrier, a 23.55% per annum autocall premium, and a December 1, 2031 maturity date.