Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. (NYSE:C), filed a free writing prospectus on November 4, 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, ticker SPXI4EV6, with a pricing date of November 24, 2026.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. is the guarantor of all payments on the securities.
  • Contingent coupon rate: 13.75% per annum, paid monthly, only if the underlying's closing value is at or above 60.00% of its initial value on the relevant valuation date.
  • Maturity date: November 28, 2031, representing a five-year term from the November 24, 2026 pricing date.
  • Automatic early redemption: Securities are called monthly (beginning after one year) at principal plus the contingent coupon if the underlying closes at or above its initial value on an autocall date.
  • Final and coupon barrier: Both set at 60.00% of the initial underlying value; a breach at maturity results in 1% loss for every 1% decline from the initial value, with no minimum payment.
  • Stated principal amount: $1,000 per security; CUSIP 17334D4V1 / ISIN US17334D4V16.
  • 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."

Structure and Payout Terms of the November 2026 Offering

According to the filing, the securities are linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER (SPXI4EV6), an index that the filing describes as employing both an intraday trend-following mechanism and an overnight mean-reversion mechanism. The index also carries 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%." An affiliate of Citigroup Global Markets Holdings Inc. participated in the development of the underlying index, which the filing identifies as a potential conflict of interest.

The contingent coupon of 13.75% per annum is not guaranteed. The filing states that if the underlying closes below the 60.00% coupon barrier on a given valuation date, no coupon is paid for that period. However, the filing describes a "memory" feature: previously unpaid coupons may be recovered on a later date when the underlying closes at or above the barrier. At maturity, if the securities have not been automatically redeemed and the final underlying value is below the 60.00% final barrier, investors receive $1,000 plus $1,000 multiplied by the negative underlying return, meaning a full proportional loss of principal is possible down to zero. The hypothetical payment table in the filing shows a $500.00 payment per security at a -50.00% underlying return, and $0.00 at -100.00%.

The filing emphasizes that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. It also discloses that the estimated value of the securities on the pricing date will be less than the $1,000 issue price, and that U.S. federal tax consequences of an investment in the securities are described as "unclear." Registration statement file numbers cited are 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for autocallable contingent coupon securities maturing November 28, 2031, linked to SPXI4EV6, with a 13.75% annual contingent coupon, dual 60.00% barriers, monthly autocall eligibility after one year, and a $1,000 stated principal amount per security.