Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 2026, for 2-Year Autocallable Dual Directional Buffer Securities linked to the worst of the Nasdaq-100 Index (NDX) and the S&P 500 Index (SPX), with a pricing date of November 24, 2026, and a maturity date of November 29, 2028.

Key Highlights

  • Stated principal: $1,000 per security, with no fixed principal repayment at maturity.
  • Automatic early redemption: If the worst performer closes at or above its initial value on the interim valuation date of November 26, 2027, investors receive $1,080.00, reflecting an 8.00% premium.
  • Upside participation: If held to maturity and the worst performer is flat or higher, investors receive $1,000 plus the upside return amount calculated at a 125% participation rate.
  • Dual directional buffer: If the worst performer declines but remains at or above 85% of its initial value (the final buffer value), investors receive $1,000 plus an absolute return amount equal to the absolute value of that decline.
  • Buffer percentage: 15%; losses apply at 1% for every 1% of depreciation beyond the 15% buffer.
  • CUSIP / ISIN: 17334DW40 / US17334DW408.
  • No exchange listing: The securities will not be listed on any securities exchange, and investors may be unable to sell prior to maturity, according to the filing.

Structure and Payment Terms of the Citigroup NDX/SPX Buffer Securities

According to the preliminary pricing supplement dated October 30, 2026, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The underlyings are the Nasdaq-100 Index (ticker: NDX) and the S&P 500 Index (ticker: SPX), with each underlying's initial value set to its closing value on the pricing date of November 24, 2026. The worst performer on any valuation date is defined as the underlying with the lowest underlying return as of that date.

The filing discloses a single automatic early redemption opportunity: if the worst performer's closing value on the interim valuation date of November 26, 2027, is greater than or equal to its initial underlying value, holders receive $1,080.00 per security. If the securities are not redeemed early, payment at the final valuation date of November 24, 2028, follows one of three scenarios. If the worst performer is flat or positive, holders receive $1,000 plus 125% of the worst performer's gain. If the worst performer has declined but remains above 85% of its initial value, holders receive $1,000 plus the absolute value of that loss. If the worst performer falls below the 85% final buffer value, holders lose 1% of principal for every 1% of depreciation exceeding the 15% buffer, with a hypothetical worst-case payment of $150.00 at a 100% decline, as illustrated in the filing's hypothetical table.

The filing notes that the securities do not pay interest, that investors will not receive dividends or any other rights with respect to either underlying, and that "the estimated value of the securities on the pricing date will be less than the issue price." All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. Registration statement file numbers cited are 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus describing preliminary terms for 2-Year Autocallable Dual Directional Buffer Securities linked to the worst of NDX and SPX, including redemption conditions, payment scenarios, a 15% buffer, and associated risk factors.