Citigroup Global Markets Holdings Inc. filed a Free Writing Prospectus on October 29, 2026, describing the terms of Contingent Income Auto-Callable Securities due November 2, 2029, linked to the worst performing of the Russell 2000 Index, the S&P 500 Index, and the Nasdaq-100 Index.

Key Highlights

  • Stated principal amount: $1,000 per security, with a pricing date of October 30, 2026, and an issue date of November 4, 2026.
  • Contingent coupon: 2.6375% per quarter (10.55% per annum) paid only if no coupon barrier event occurs during the related observation period.
  • Coupon barrier level: 75.00% of the initial index level for each underlying index, measured on every trading day throughout each observation period.
  • Downside threshold level: 65.00% of the initial index level; if breached at maturity, investors receive $1,000 plus the negative index return of the worst performing index, potentially as little as $0.
  • Automatic early redemption: Triggered if the worst performing index closes at or above its initial index level on any potential redemption date, returning $1,000 plus any contingent coupon.
  • Estimated value on pricing date: At least $919.50 per security, below the public offering price of $1,000, according to the filing.
  • CUSIP/ISIN: 17334DR79 / US17334DR796; guarantor is Citigroup Inc.

Terms and Structure of the October 2026 Auto-Callable Securities Offering

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. under registration statement file numbers 333-293732 and 333-293732-02. The underlying indices are the Russell 2000 Index (RTY), the S&P 500 Index (SPX), and the Nasdaq-100 Index (NDX). The maturity date is November 2, 2029, unless the securities are automatically redeemed earlier. The final valuation date is October 30, 2029, subject to postponement for market disruption events.

The contingent coupon of 2.6375% per quarter is paid only if no coupon barrier event has occurred during the relevant observation period. The filing specifies that a coupon barrier event occurs if the closing level of any underlying index falls below 75.00% of its initial index level on any trading day within an observation period. There are twelve scheduled observation period end-dates, with the first contingent coupon payment date set for February 4, 2027. Automatic early redemption can occur beginning with the April 30, 2027 potential redemption date if the worst performing index closes at or above its initial index level on that date.

The filing discloses that if the final index level of the worst performing underlying index is less than its downside threshold level of 65.00% of its initial index level, investors "will receive less, and possibly significantly less, than 65% of the stated principal amount" at maturity. For example, the hypothetical payout table in the filing shows a payment of $600.00 at a -40% index return and $0 at a -100% return. The filing also states that the estimated value of the securities on the pricing date will be at least $919.50 per security, derived from CGMI's proprietary pricing models and Citigroup Global Markets Holdings Inc.'s internal funding rate, and that this figure is not an indication of any price at which CGMI may buy the securities after issuance.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed the full term sheet for auto-callable securities due November 2, 2029, including coupon mechanics, barrier levels, redemption schedule, downside payment formula, hypothetical payout scenarios, and an estimated day-one value of at least $919.50 per $1,000 security.