Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 10, 2026, disclosing preliminary terms for 5-year autocallable barrier securities linked to the worst of the EURO STOXX 50 Index and the STOXX Europe 600 Index, with a pricing date of November 25, 2026.

Key Highlights

  • Underlying indexes: The securities are linked to the EURO STOXX 50 Index (SX5E) and the STOXX Europe 600 Index (SXXP), with payoff determined by the worst performer.
  • Upside participation rate: 150.00% of the underlying return of the worst performer if the worst performer finishes above its initial value at maturity.
  • Final barrier value: Set at 70.00% of each underlying's initial value; breach triggers principal loss on a 1-for-1 basis.
  • Automatic early redemption: If the worst performer's closing value on November 29, 2027 is at or above its initial underlying value, the securities are called at principal plus a 17.50% per annum premium, equaling a hypothetical redemption of $1,175.00 per $1,000 security.
  • Maturity date: December 1, 2031, with a final valuation date of November 25, 2031.
  • Principal at risk: The filing states investors "may lose up to all of your investment" if the worst performer falls below its final barrier value at maturity, with no minimum payment.
  • CUSIP / ISIN: 17334HBS1 / US17334HBS13; the securities will not be listed on any securities exchange.

Preliminary Terms: Structure, Payoff Scenarios, and Key Risks

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer and Citigroup Inc. is the guarantor of these structured securities, priced at $1,000 per security. The return at maturity, if the securities are not autocalled, is calculated as $1,000 multiplied by the underlying return of the worst performer multiplied by the upside participation rate of 150.00%. The worst performer is defined as the underlying with the lowest underlying return on the applicable valuation date.

The filing outlines three distinct maturity outcomes if the securities are not automatically redeemed. If the worst performer's final underlying value exceeds its initial underlying value, the investor receives $1,000 plus the return amount. If the worst performer finishes at or below its initial value but at or above 70.00% of that value (the final barrier), the investor receives exactly $1,000. If the worst performer falls below the final barrier, the filing states the investor "will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity," with losses tracking the index decline on a 1-for-1 basis. The hypothetical payment table in the filing illustrates that a worst-performer return of negative 50.00% would yield $500.00 per security, and a negative 100.00% return would yield $0.00.

The filing identifies several risk factors specific to this structure. It notes that the securities do not pay interest and that returns depend solely on the worst-performing underlying, exposing investors to the risks of each index individually. The filing also discloses that the estimated value of the securities on the pricing date will be less than the issue price, that the securities are subject to the credit risk of both the issuer and guarantor, and that "the U.S. federal tax consequences of an investment in the securities are unclear."

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 5-year worst-of autocallable barrier securities linked to the EURO STOXX 50 and STOXX Europe 600 indexes, with an autocall feature tied to November 29, 2027, a 70.00% final barrier, 150.00% upside participation, and a maturity date of December 1, 2031.