Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026 for 5-year autocallable notes linked to the S&P 500 Futures 7% Intraday Edge Volatility TCA 2% Decrement Index (USD) ER, with a scheduled pricing date of November 30, 2026 and a maturity date of December 4, 2031.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. is the guarantor, according to the filing.
  • Underlying index: The notes are linked to the S&P 500 Futures 7% Intraday Edge Volatility TCA 2% Decrement Index (USD) ER, ticker SPXI7EV2.
  • Automatic early redemption premium: The filing discloses a premium of at least 11.00% of stated principal amount per annum, rising to 22.00% in year 2, 33.00% in year 3, and 44.00% in year 4 if the autocall triggers on those respective valuation dates.
  • Upside participation rate: 100%, applied only if the final underlying value exceeds the initial underlying value at the final valuation date.
  • 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, with no premium or return amount paid.
  • CUSIP / ISIN: 17334D6W7 / US17334D6W70, as stated in the filing.
  • No exchange listing: The filing discloses that "the notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Structure and Key Terms of the Citigroup Autocallable Index Notes

According to the filing, the notes are issued under registration statement file numbers 333-293732 and 333-293732-02. The valuation dates are November 30, 2027; November 30, 2028; November 30, 2029; December 2, 2030; and December 1, 2031 (designated as the final valuation date), with a maturity date of December 4, 2031. If the closing value of the underlying meets or exceeds the initial underlying value on any valuation date prior to the final valuation date, the notes will be automatically redeemed for $1,000 plus the applicable premium for that year.

The filing specifies that if the notes are not autocalled and the final underlying value exceeds the initial underlying value, investors 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 investors are repaid only the $1,000 stated principal amount with no premium or return amount. The filing also notes that "all payments on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc."

The filing lists several risks specific to the underlying index, including that "the underlying is likely to underperform the S&P 500 Index over any period in which the S&P 500 Index appreciates," that the index carries a 2% per annum decrement that "may reduce the annual return of the underlying by more (and possibly significantly more) than 2%," and that the index has "limited actual performance information." The filing further discloses that an affiliate of the issuer participated in the development of the underlying index, and that the calculation agent is also an affiliate of the issuer.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for 5-year autocallable notes linked to a proprietary S&P 500 futures-based index, with annual autocall premiums ranging from 11.00% to 44.00%, $1,000 stated principal, CUSIP 17334D6W7, and a pricing date of November 30, 2026.