Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026, disclosing preliminary terms for 5 Year Buffered Autocallable 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

  • Underlying index: The securities are linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6.
  • Premium rate: The filing discloses a premium of 18.8496% per annum if the securities are automatically called.
  • Buffer protection: A 20.00% buffer percentage applies, with a final buffer value set at 80.00% of the initial underlying value.
  • Maturity and valuation: The final valuation date is November 24, 2031, and the maturity date is November 28, 2031.
  • Autocall feature: Monthly valuation dates begin approximately one year after issuance; if the closing value equals or exceeds the initial underlying value on any such date, the securities are automatically called for principal plus the applicable premium.
  • Principal at risk: According to the filing, if the final underlying value falls below the final buffer value, investors lose 1% of stated principal for every 1% by which depreciation exceeds the buffer percentage.
  • CUSIP / ISIN: 17334D4J8 / US17334D4J87.

Preliminary Terms of Citigroup's SPXI4EV6-Linked Autocallable Securities

Citigroup Global Markets Holdings Inc. is the issuer of these structured notes, with Citigroup Inc. acting as guarantor. According to the filing, the securities carry a stated principal amount of $1,000 per security and do not pay interest. The preliminary pricing supplement, dated November 4, 2026, describes an autocall mechanism triggered monthly beginning approximately one year after issuance: if the closing value of the underlying index on any interim valuation date equals or exceeds the initial underlying value, the securities are redeemed early at principal plus the premium accrued to that date.

The filing provides a detailed hypothetical interim payment schedule. For example, the filing states that if the closing value equals or exceeds the initial underlying value on November 26, 2027, the redemption amount would be $1,188.50 per security, representing an 18.85% premium. By the final valuation date of November 24, 2031, the hypothetical redemption amount would be $1,926.792, reflecting a 92.6792% premium. If the securities are not autocalled and the final underlying value is at or above the initial underlying value, the payment at maturity would be $1,000 plus the applicable final premium. If the final underlying value is below the initial underlying value but at or above 80.00% of it, the filing states the payment at maturity is $1,000. Below that threshold, principal loss applies on a 1-for-1 basis for each percentage point of depreciation beyond the buffer.

The filing lists numerous risk considerations. It discloses that the securities will not be listed on any securities exchange, that the estimated value on the pricing date will be 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 filing also notes that the underlying index carries a 6% per annum decrement that "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%," and that the underlying has limited actual performance information. The filing further states that an affiliate of the issuer participated in the development of the underlying index.

What Was Disclosed

The free writing prospectus sets out preliminary economic terms for 5-year buffered autocallable securities linked to SPXI4EV6, including the 18.8496% per annum premium rate, a 20.00% downside buffer, monthly autocall valuation dates, and a November 28, 2031 maturity date, together with an extensive list of product and index-specific risk factors.