Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 10, 2026 for Digital Notes linked to the worst-performing of the Russell 2000 Index (RTY) and the S&P 500 Index (SPX), with a stated maturity date of December 29, 2028.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. is the guarantor.
  • Underlying indices: The notes are linked to the worst-performing of RTY (Russell 2000 Index) and SPX (S&P 500 Index).
  • Digital return: If the worst performer finishes at or above its initial level, investors receive $1,172.60 per note, representing a digital return of $172.60, or 17.26% of the $1,000 stated principal amount.
  • No interest payments: According to the filing, "the notes do not pay interest."
  • Principal protection limited to stated amount: If the worst performer's final index level is below its initial level, investors receive only the $1,000 stated principal amount per note.
  • Key dates: Pricing date is November 23, 2026; valuation date is December 26, 2028; maturity date is December 29, 2028.
  • Not exchange-listed: The filing states "the notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Structure and Payout Terms of the Citigroup Worst-of Digital Notes

According to the filing, Citigroup Global Markets Holdings Inc. is offering Digital Notes with a stated principal amount of $1,000 per note. The notes are linked to the performance of two underlying indices: the Russell 2000 Index (RTY) and the S&P 500 Index (SPX). The payout at maturity depends entirely on the index with the lower return, referred to in the filing as the "worst performer." The CUSIP is 17334HBK8 and the ISIN is US17334HBK86.

The filing discloses two possible outcomes at maturity. If the worst performer's closing level on the valuation date (December 26, 2028) is greater than or equal to its initial level set on the pricing date (November 23, 2026), each note pays $1,000 plus a digital return amount of $172.60, for a total of $1,172.60. If the worst performer's final level is below its initial level by any amount, investors receive only the $1,000 stated principal, with no return on investment. The hypothetical payout table in the filing illustrates that this binary outcome applies regardless of whether the worst performer declines by 10%, 50%, or 100%.

The filing identifies several risk considerations. It notes that "the estimated value of the notes on the pricing date will be less than the issue price," and that the notes are "subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc." The filing also cautions that the less correlated the two underlying indices, the greater the likelihood that one will perform poorly, and that "all that is necessary for the notes to perform poorly is for one of the underlying indices to perform poorly." Sale prior to maturity may result in a loss of principal. The filing was made pursuant to Rule 433 and references registration statement file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus for structured Digital Notes tied to the worst of RTY and SPX, maturing December 29, 2028, offering a fixed digital return of 17.26% if the worst performer does not decline, and return of principal only if it does.