Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 28, 2026, outlining preliminary terms for 5-year autocallable securities linked to the worst of the Russell 2000 Index and the S&P 500 Index.

Key Highlights

  • Stated principal: $1,000 per security, with a pricing date of November 24, 2026, and a maturity date of November 28, 2031.
  • Autocall premium: At least 8.75% per annum, with the actual premium to be determined on the pricing date.
  • Final barrier value: 65.00% of each underlying's initial underlying value on the pricing date.
  • Automatic early redemption: Triggered on any annual valuation date if the worst performer's closing value is greater than or equal to its initial underlying value.
  • Principal at risk: If the worst performer falls below its final barrier value at maturity, investors lose 1% of principal for every 1% decline, with no minimum payment.
  • CUSIP / ISIN: 17334D2E1 / US17334D2E19.
  • No exchange listing: According to the filing, "the securities will not be listed on any securities exchange."

Structure and Payment Terms for the RTY/SPX Worst-of Notes

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The two underlyings are the Russell 2000 Index (RTY) and the S&P 500 Index (SPX). The "worst performer" on any valuation date is defined as the underlying with the lowest underlying return relative to its initial underlying value established on the November 24, 2026 pricing date. Annual valuation dates begin approximately one year after issuance, with a final valuation date of November 24, 2031.

The filing discloses three possible payment outcomes at maturity, assuming no prior autocall. If the worst performer's final underlying value is at or above its initial underlying value, the holder receives $1,000 plus the applicable premium. If the worst performer has declined but remains at or above the 65.00% final barrier value, the holder receives $1,000 with no premium. If the worst performer falls below the 65.00% barrier, the holder receives $1,000 plus $1,000 multiplied by the underlying return of the worst performer, which the filing notes could result in receiving "possibly nothing" at maturity. Hypothetical maturity payments presented in the filing range from $1,437.50 at a 0.00% worst underlying return down to $0.00 at a -100.00% worst underlying return.

The filing identifies several risk factors specific to this structure. The securities do not pay interest and offer no upside exposure to the underlyings beyond the fixed premium. Because returns depend solely on the worst performer, the filing notes that "all that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly." All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The filing also states that the estimated value of the securities on the pricing date will be less than the issue price.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for autocallable worst-of securities linked to RTY and SPX, with a $1,000 principal, at least 8.75% per annum premium, a 65.00% final barrier, and full principal loss possible if the worst performer breaches the barrier at maturity.