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 and a maturity date of November 28, 2031.

Key Highlights

  • Contingent coupon rate: At least 15.65% per annum, paid monthly, only when the closing value of the underlying on the related valuation date is greater than or equal to the coupon barrier value.
  • Coupon barrier value: Set at 75.00% of the initial underlying value.
  • Final barrier value: Set at 60.00% of the initial underlying value.
  • Automatic early redemption: Securities may be called monthly, beginning after one year, if the underlying's closing value on an autocall date equals or exceeds the initial underlying value.
  • Principal at risk: If not redeemed and the final underlying value falls below the final barrier value, investors receive $1,000 plus $1,000 multiplied by the underlying return, with no minimum payment and potential for total loss.
  • CUSIP / ISIN: 17334D4L3 / US17334D4L34.
  • Listing status: The securities will not be listed on any securities exchange, according to the filing.

Structure and Payment Terms of the SPXI4EV6-Linked Securities

According to the preliminary pricing supplement dated November 4, 2026, Citigroup Global Markets Holdings Inc. is the issuer of these structured securities, with Citigroup Inc. acting as guarantor. The underlying index, SPXI4EV6, is described in the filing as a decrement index that applies a reduction of 6% per annum and incorporates an intraday trend-following mechanism as well as an overnight mean-reversion mechanism. The filing notes that an affiliate of the issuer participated in the development of the underlying index, and that the index has limited actual performance history.

The contingent coupon of at least 15.65% per annum is not guaranteed. The filing specifies that if the closing value of the underlying falls below the coupon barrier value of 75.00% of the initial underlying value on a given valuation date, no coupon is paid for that period. However, if on a subsequent valuation date the closing value meets or exceeds the coupon barrier, the payment for that date will include all previously unpaid contingent coupons. Valuation dates are monthly, and autocall dates begin after the first year of the securities' term.

The filing discloses that the estimated value of the securities 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 further states that if both entities default, investors "may not receive anything owed" under the securities. The filing also cautions that the underlying may experience greater volatility than its stated volatility target, may underperform the S&P 500 Index, and may be adversely affected by a "decay" effect as described in the accompanying preliminary pricing supplement.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 5-year autocallable securities linked to the SPXI4EV6 index, with a stated principal of $1,000 per security, a contingent coupon of at least 15.65% per annum, monthly valuation dates, and a final barrier of 60.00% of the initial underlying value, maturing November 28, 2031.