Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 2, 2026, for 5-Year Autocallable Buffered Equity Linked Securities linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, with a scheduled pricing date of November 24, 2026.

Key Highlights

  • Underlying index: The S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6.
  • Coupon: Approximately 8.00% per annum, paid monthly.
  • Buffer percentage: 15%, meaning a downside event occurs only if the final underlying value falls below 85% of the initial underlying value.
  • Maturity: November 28, 2031, unless earlier redeemed; autocall dates begin monthly after one year.
  • Principal at risk: If a downside event occurs at maturity, investors lose 1% of stated principal for every 1% of depreciation exceeding the 15% buffer.
  • CUSIP / ISIN: 17334DW65 / US17334DW655.
  • Listing: According to the filing, "The securities will not be listed on any securities exchange."

Structure and Terms of the SPXI4EV6-Linked Securities

According to the preliminary pricing supplement dated November 2, 2026, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. (NYSE:C). The stated principal amount is $1,000 per security. The coupon of approximately 8.00% per annum is paid monthly, with each monthly payment equating to approximately $6.667 per $1,000 security based on the hypothetical payment tables included in the filing.

The filing describes the automatic early redemption feature: if, on any monthly autocall date beginning after one year, the closing value of the underlying is greater than or equal to the initial underlying value, the securities will be redeemed for principal plus the related coupon. If not redeemed early, the payment at maturity depends on whether a downside event has occurred. If no downside event occurs, the investor receives $1,000 plus the final coupon. If a downside event occurs, the investor receives $1,000 plus $1,000 multiplied by the sum of the underlying return and the 15% buffer percentage, which in practice reduces the principal returned.

The filing lists numerous risk considerations. It states that "the estimated value of the securities on the pricing date is less than the issue price" and that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The underlying itself carries specific risks, including a 6% per annum decrement that the filing notes "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%." The filing also discloses that an affiliate of the issuer participated in the development of the underlying index.

What Was Disclosed

The free writing prospectus outlined the preliminary terms of 5-year autocallable buffered notes linked to SPXI4EV6, including an approximately 8.00% annual coupon, a 15% downside buffer, monthly autocall provisions beginning after one year, and a maturity date of November 28, 2031.