Citigroup Global Markets Holdings Inc. filed a free writing prospectus (FWP) on November 2, 2026, disclosing preliminary terms for 5-year autocallable contingent coupon securities linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, with a pricing date of November 24, 2026.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer, with Citigroup Inc. serving as guarantor for all payments on the securities.
  • Contingent coupon rate: 11.75% per annum, paid monthly, only if the underlying's closing value is greater than or equal to 65.00% of the initial underlying value on the related valuation date.
  • Principal buffer: A 15.00% buffer applies at maturity; the final buffer value is set at 85.00% of the initial underlying value.
  • Automatic early redemption: Securities are callable monthly beginning after one year if the underlying's closing value is greater than or equal to the initial underlying value on any autocall date.
  • Maturity date: November 28, 2031, with valuation dates occurring monthly.
  • CUSIP / ISIN: 17334DU59 / US17334DU592; stated principal amount is $1,000 per security.
  • No exchange listing: According to the filing, "the securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Preliminary Terms for Citigroup's Linked Autocallable Securities

According to the filing, Citigroup Global Markets Holdings Inc. is offering 5-year autocallable contingent coupon securities linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER (ticker: SPXI4EV6). The preliminary pricing supplement is dated October 30, 2026, with a pricing date set for November 24, 2026. The securities are guaranteed by Citigroup Inc., and all payments are subject to the credit risk of both entities. The filing was made pursuant to Rule 433 under registration statement file numbers 333-293732 and 333-293732-02.

The filing discloses that the contingent coupon of 11.75% per annum is not assured. Holders receive a monthly coupon payment only when the underlying's closing value on the relevant valuation date is at or above the coupon barrier value, set at 65.00% of the initial underlying value. A memory feature applies: if a coupon is missed due to the underlying falling below the barrier, that unpaid coupon may be recovered on a later valuation date when the barrier condition is met. At maturity, if the final underlying value is at or above 85.00% of the initial underlying value, the holder receives $1,000. If it falls below that level, the filing states holders "will lose 1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage."

The filing details hypothetical payment scenarios. At an underlying return of -50.00% on the final valuation date, the hypothetical payment at maturity is stated as $650.00; at -75.00%, it is $400.00; and at -100.00%, it is $150.00. The filing also identifies several risk factors specific to the underlying index, including that "the performance of the underlying will be reduced by notional costs and by a decrement of 6% per annum" and that "the underlying is highly risky because it may reflect highly leveraged exposure to the Underlying Futures Index."

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for autocallable contingent coupon securities due November 28, 2031, linked to the SPXI4EV6 index, featuring an 11.75% per annum conditional coupon, a 15.00% principal buffer, and monthly autocall eligibility beginning after one year.