Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026, disclosing preliminary terms for 5-year autocallable notes linked to the S&P 500 Futures 7% Intraday Edge Volatility TCA 2% Decrement Index (USD) ER.

Key Highlights

  • Underlying index: The notes are linked to the S&P 500 Futures 7% Intraday Edge Volatility TCA 2% Decrement Index (USD) ER, ticker SPXI7EV2.
  • Pricing date: November 24, 2026, with a maturity date of November 28, 2031.
  • Automatic early redemption premium: At least 8.00% of stated principal amount per annum, rising to 16.00% at Year 2, 24.00% at Year 3, and 32.00% at Year 4 if triggered.
  • Stated principal amount: $1,000 per note, repaid at maturity if the notes are not autocalled and the final underlying value is at or below the initial underlying value.
  • Upside participation rate: 100% of the underlying return if the final underlying value exceeds the initial underlying value at maturity.
  • CUSIP / ISIN: 17334D6T4 / US17334D6T42.
  • No exchange listing: According to the filing, "the notes 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 Autocallable Decrement Index Notes Due 2031

Citigroup Global Markets Holdings Inc. filed a free writing prospectus (FWP) pursuant to Rule 433, disclosing preliminary terms for a structured note offering tied to the S&P 500 Futures 7% Intraday Edge Volatility TCA 2% Decrement Index (USD) ER. Citigroup Inc. serves as guarantor. The notes carry a stated principal amount of $1,000 each, with a pricing date of November 24, 2026, and annual valuation dates through the final valuation date of November 24, 2031, and a maturity date of November 28, 2031, according to the filing.

The filing describes an autocall feature: if, on any valuation date prior to the final valuation date, the closing value of the underlying meets or exceeds the initial underlying value, the notes are automatically redeemed for $1,000 plus the applicable premium. That premium is "at least 8.00% of the stated principal amount per annum" at Year 1, with hypothetical cumulative premiums of 16.00%, 24.00%, and 32.00% at Years 2, 3, and 4, respectively, based on the assumption that the premium is set at the lowest indicated value. If not autocalled and the final underlying value exceeds the initial underlying value, holders receive $1,000 multiplied by the underlying return at a 100% upside participation rate. If the final underlying value is at or below the initial underlying value at maturity, the filing states holders receive only their stated principal with no premium or return amount.

The filing lists several risks specific to this structure. It states that "the notes do not pay interest," that "sale of the notes prior to maturity may result in a loss of principal," and that "the estimated value of the notes on the pricing date is less than the issue price." The filing also discloses that the underlying applies a 2% per annum decrement, that an affiliate of the issuer participated in the development of the underlying, and that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. Registration statement file numbers cited are 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for 5-year autocallable notes linked to a volatility-managed, decrement-adjusted S&P 500 futures index, including autocall premiums, maturity payment mechanics, key risks, and registration statement references, in an FWP filed November 4, 2026.